extremogram-package

extremogram

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: <ol>
<li> <code><a rd-options="" href="/link/extremogram1?package=extremogram&version=1.0.2" data-mini-rdoc="extremogram::extremogram1">extremogram1</a></code>
</li>
<li> <code><a rd-options="" href="/link/extremogram2?package=extremogram&version=1.0.2" data-mini-rdoc="extremogram::extremogram2">extremogram2</a></code>
</li>
<li> <code><a rd-options="" href="/link/extremogramr?package=extremogram&version=1.0.2" data-mini-rdoc="extremogram::extremogramr">extremogramr</a></code>
</li>
<li> <code><a rd-options="" href="/link/bootconf1?package=extremogram&version=1.0.2" data-mini-rdoc="extremogram::bootconf1">bootconf1</a></code>
</li>
<li> <code><a rd-options="" href="/link/bootconf2?package=extremogram&version=1.0.2" data-mini-rdoc="extremogram::bootconf2">bootconf2</a></code>
</li>
<li> <code><a rd-options="" href="/link/bootconfr?package=extremogram&version=1.0.2" data-mini-rdoc="extremogram::bootconfr">bootconfr</a></code>
</li>
<li> <code><a rd-options="" href="/link/permfn1?package=extremogram&version=1.0.2" data-mini-rdoc="extremogram::permfn1">permfn1</a></code>
</li>
<li> <code><a rd-options="" href="/link/permfn2?package=extremogram&version=1.0.2" data-mini-rdoc="extremogram::permfn2">permfn2</a></code>
</li>
<li> <code><a rd-options="" href="/link/permfnr?package=extremogram&version=1.0.2" data-mini-rdoc="extremogram::permfnr">permfnr</a></code>
</li>
</ol>

Estimation of the sample univariate, cross and return time extremograms. The package can also adds 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.

Nadezda Frolova

Estimation of Extreme Value Dependence for Time Series Data

extremogram-package function

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: <ol>
<li> <code><a rd-options='' href='extremogram1'>extremogram1</a></code>
</li>
<li> <code><a rd-options='' href='extremogram2'>extremogram2</a></code>
</li>
<li> <code><a rd-options='' href='extremogramr'>extremogramr</a></code>
</li>
<li> <code><a rd-options='' href='bootconf1'>bootconf1</a></code>
</li>
<li> <code><a rd-options='' href='bootconf2'>bootconf2</a></code>
</li>
<li> <code><a rd-options='' href='bootconfr'>bootconfr</a></code>
</li>
<li> <code><a rd-options='' href='permfn1'>permfn1</a></code>
</li>
<li> <code><a rd-options='' href='permfn2'>permfn2</a></code>
</li>
<li> <code><a rd-options='' href='permfnr'>permfnr</a></code>
</li>
</ol>

extremogram-package: extremogram

Description

Arguments

References