All Tools Bookmark

Share

http://online-toolz.com/tools/r-package-details.php?p=extremogram

Facebook Share Twitter Share

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.

extremogram.pdf