extremogram

Estimation of Extreme Value Dependence for Time Series Data

CRAN Package

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.

  • Version1.0.2
  • R versionunknown
  • LicenseGPL-3
  • Needs compilation?No
  • Last release10/08/2016

Team

Insights

Last 30 days

Last 365 days

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Data provided by CRAN

Binaries

Dependencies

  • Imports2 packages