extremogram-package: extremogram

In extremogram: Estimation of Extreme Value Dependence for Time Series Data

Description

The package estimates the sample univariate, cross and return time extremograms. It can also add empirical confidence bands to each of the extremogram plots via a permutation procedure under the assumption that the data are independent. Finally, the stationary bootstrap allows us to construct credible confidence bands for the extremograms.

Functions:

1. extremogram1

2. extremogram2

3. extremogramr

4. bootconf1

5. bootconf2

6. bootconfr

7. permfn1

8. permfn2

9. permfnr

Author(s)

Nadezda Frolova <[e-mail]>, Ivor Cribben <[e-mail]>

References

1. Davis, R. A., Mikosch, T., & Cribben, I. (2012). Towards estimating extremal serial dependence via the bootstrapped extremogram. Journal of Econometrics,170(1), 142-152.

2. Davis, R. A., Mikosch, T., & Cribben, I. (2011). Estimating extremal dependence in univariate and multivariate time series via the extremogram.arXiv preprint arXiv:1107.5592.

extremogram documentation built on May 2, 2019, 8:22 a.m.