extremogram: Estimation of Extreme Value Dependence for Time Series Data

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

Version: 1.0.1
Depends: R (≥ 3.1.0)
Imports: boot (≥ 1.3-11), MASS (≥ 7.3-31), parallel (≥ 3.1.1)
Published: 2016-03-28
Author: Nadezda Frolova, Ivor Cribben
Maintainer: Nadezda Frolova <nfrolova at ualberta.ca>
BugReports: NA
License: GPL-3
NeedsCompilation: no
CRAN checks: extremogram results


Reference manual: extremogram.pdf
Package source: extremogram_1.0.1.tar.gz
Windows binaries: r-devel: extremogram_1.0.1.zip, r-release: extremogram_1.0.1.zip, r-oldrel: extremogram_1.0.1.zip
OS X Mavericks binaries: r-release: extremogram_1.0.1.tgz, r-oldrel: extremogram_1.0.1.tgz
Old sources: extremogram archive