extremogram-package {extremogram}

extremogram

Description

The package estimates the sample univariate, cross and return time extremograms. It 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.

Functions:

1. extremogram1

2. extremogram2

3. extremogramr

4. bootconf1

5. bootconf2

6. bootconfr

7. permfn1

8. permfn2

9. permfnr

Author(s)

Nadezda Frolova <[e-mail]>, Ivor Cribben <[e-mail]>

References

1. Davis, R. A., Mikosch, T., & Cribben, I. (2012). Towards estimating extremal serial dependence via the bootstrapped extremogram. Journal of Econometrics,170(1), 142-152.

2. 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.