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