Estimation of Extreme Value Dependence for Time Series Data

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.


Reference manual

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1.0.2 by Nadezda Frolova, 5 years ago

Browse source code at

Authors: Nadezda Frolova , Ivor Cribben

Documentation:   PDF Manual  

GPL-3 license

Imports boot, MASS, parallel

See at CRAN