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.


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install.packages("extremogram")

1.0.2 by Nadezda Frolova, 2 years ago


Browse source code at https://github.com/cran/extremogram


Authors: Nadezda Frolova , Ivor Cribben


Documentation:   PDF Manual  


GPL-3 license


Imports boot, MASS, parallel


See at CRAN