bootconf2 {extremogram} | R Documentation |
Confidence bands for the sample cross extremogram
Description
The function estimates confidence bands for the sample cross extremogram using the stationary bootstrap.
Usage
bootconf2(x, R, l, maxlag, quant1, quant2, type, par, start = 1, cutoff = 1,
alpha = 0.05)
Arguments
x |
Bivariate time series (n by 2 matrix). |
R |
Number of bootstrap replications (an integer). |
l |
Mean block size for stationary bootstrap or mean of the geometric distribution used to generate resampling blocks (an integer that is not longer than the length of the time series). |
maxlag |
Number of lags to include in the extremogram (an integer). |
quant1 |
Quantile of the first time series to indicate an extreme event (a number between 0 and 1). |
quant2 |
Quantile of the second series to indicate an extreme event (a number between 0 and 1). |
type |
Extremogram type (see function |
par |
If par = 1, the bootstrap replication procedure will be parallelized. If par = 0, no parallelization will be used. |
start |
The lag that the extremogram plots starts at (an integer not greater than |
cutoff |
The cutoff of the y-axis on the plot (a number between 0 and 1, default is 1). |
alpha |
Significance level for the confidence bands (a number between 0 and 1, default is 0.05). |
Value
Returns a plot of the confidence bands for the sample cross extremogram.
References
Davis, R. A., Mikosch, T., & Cribben, I. (2012). Towards estimating extremal serial dependence via the bootstrapped extremogram. Journal of Econometrics,170(1), 142-152.
Davis, R. A., Mikosch, T., & Cribben, I. (2011). Estimating extremal dependence in univariate and multivariate time series via the extremogram.arXiv preprint arXiv:1107.5592.
Examples
# generate a GARCH(1,1) process
omega = 1
alpha1 = 0.1
beta1 = 0.6
alpha2 = 0.11
beta2 = 0.78
n = 1000
quant = 0.95
type = 1
maxlag = 70
df = 3
R = 10
l = 30
par = 0
G1 = extremogram:::garchsim(omega,alpha1,beta1,n,df)
G2 = extremogram:::garchsim(omega,alpha2,beta2,n,df)
data = cbind(G1, G2)
extremogram2(data, quant, quant, maxlag, type, 1, 1, 0)
bootconf2(data, R, l, maxlag, quant, quant, type, par, 1, 1, 0.05)