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:
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 = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 8 years agofrom:8ce90f184d. Checks:2 OK. Indexed: yes.
| Target | Result | Latest binary |
|---|---|---|
| Doc / Vignettes | OK | Feb 01 2025 |
| R-4.5-linux | OK | Feb 01 2025 |
Exports:bootconf1bootconf2bootconfrextremogram1extremogram2extremogramrpermfn1permfn2permfnr
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| extremogram | extremogram-package extremogram |
| Confidence bands for the sample univariate extremogram | bootconf1 |
| Confidence bands for the sample cross extremogram | bootconf2 |
| Confidence bands for the sample return time extremogram | bootconfr |
| Sample univariate extremogram | extremogram1 |
| Sample cross extremogram | extremogram2 |
| Sample return time extremogram | extremogramr |
| Confidence bands for the sample univariate extremogram | permfn1 |
| Confidence bands for the sample cross extremogram | permfn2 |
| Confidence bands for the sample return time extremogram | permfnr |