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.
| Version: | 1.0.2 |
| Depends: | R (≥ 3.1.0) |
| Imports: | boot (≥ 1.3-11), MASS (≥ 7.3-31), parallel (≥ 3.1.1) |
| Published: | 2016-10-08 |
| DOI: | 10.32614/CRAN.package.extremogram |
| Author: | Nadezda Frolova, Ivor Cribben |
| Maintainer: | Nadezda Frolova <nfrolova at ualberta.ca> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| CRAN checks: | extremogram results |
| Reference manual: | extremogram.html , extremogram.pdf |
| Package source: | extremogram_1.0.2.tar.gz |
| Windows binaries: | r-devel: extremogram_1.0.2.zip, r-release: extremogram_1.0.2.zip, r-oldrel: extremogram_1.0.2.zip |
| macOS binaries: | r-release (arm64): extremogram_1.0.2.tgz, r-oldrel (arm64): extremogram_1.0.2.tgz, r-release (x86_64): extremogram_1.0.2.tgz, r-oldrel (x86_64): extremogram_1.0.2.tgz |
| Old sources: | extremogram archive |
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