Package: extremogram
Type: Package
Title: Estimation of Extreme Value Dependence for Time Series Data
Version: 1.0.2
Date: 2015-09-24
Author: Nadezda Frolova, Ivor Cribben
Maintainer: Nadezda Frolova <nfrolova@ualberta.ca>
Description: 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.  
License: GPL-3
Imports: boot(>= 1.3-11), MASS(>= 7.3-31), parallel(>= 3.1.1)
Depends: R (>= 3.1.0)
NeedsCompilation: no
Packaged: 2016-10-07 18:20:58 UTC; Nadia
Repository: CRAN
Date/Publication: 2016-10-08 08:48:07
Built: R 4.6.0; ; 2026-04-25 18:46:03 UTC; unix
