Package: extremogram 1.0.2

Nadezda Frolova

extremogram: 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.

Authors:Nadezda Frolova, Ivor Cribben

extremogram_1.0.2.tar.gz
extremogram_1.0.2.tar.gz(r-4.5-noble)extremogram_1.0.2.tar.gz(r-4.4-noble)
extremogram_1.0.2.tgz(r-4.4-emscripten)extremogram_1.0.2.tgz(r-4.3-emscripten)
extremogram.pdf |extremogram.html✨
extremogram/json (API)

# Install 'extremogram' in R:
install.packages('extremogram', repos = 'https://cloud.r-project.org')

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 169 downloads 9 exports 2 dependencies

Last updated 8 years agofrom:8ce90f184d. Checks:3 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKApr 02 2025
R-4.5-linuxOKApr 02 2025
R-4.4-linuxOKApr 02 2025

Exports:bootconf1bootconf2bootconfrextremogram1extremogram2extremogramrpermfn1permfn2permfnr

Dependencies:bootMASS

Citation

To cite package ‘extremogram’ in publications use:

Frolova N, Cribben I (2016). extremogram: Estimation of Extreme Value Dependence for Time Series Data. R package version 1.0.2, https://CRAN.R-project.org/package=extremogram.

ATTENTION: This citation information has been auto-generated from the package DESCRIPTION file and may need manual editing, see ‘help("citation")’.

Corresponding BibTeX entry: 

  @Manual{,
    title = {extremogram: Estimation of Extreme Value Dependence for
      Time Series Data},
    author = {Nadezda Frolova and Ivor Cribben},
    year = {2016},
    note = {R package version 1.0.2},
    url = {https://CRAN.R-project.org/package=extremogram},
  }