Estimation of Extreme Value Dependence for Time Series Data
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Documentation for package ‘extremogram’ version 1.0.2
Help Pages
| extremogram-package | extremogram |
| bootconf1 | Confidence bands for the sample univariate extremogram |
| bootconf2 | Confidence bands for the sample cross extremogram |
| bootconfr | Confidence bands for the sample return time extremogram |
| extremogram | extremogram |
| extremogram1 | Sample univariate extremogram |
| extremogram2 | Sample cross extremogram |
| extremogramr | Sample return time extremogram |
| permfn1 | Confidence bands for the sample univariate extremogram |
| permfn2 | Confidence bands for the sample cross extremogram |
| permfnr | Confidence bands for the sample return time extremogram |