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extremogram  

Estimation of Extreme Value Dependence for Time Series Data
View on CRAN: Click here


Download and install extremogram package within the R console
Install from CRAN:
install.packages("extremogram")

Install from Github:
library("remotes")
install_github("cran/extremogram")

Install by package version:
library("remotes")
install_version("extremogram", "1.0.2")



Attach the package and use:
library("extremogram")
Maintained by
Nadezda Frolova
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2015-09-29
Latest Update: 2016-10-08
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.
How to cite:
Nadezda Frolova (2015). extremogram: Estimation of Extreme Value Dependence for Time Series Data. R package version 1.0.2, https://cran.r-project.org/web/packages/extremogram. Accessed 15 Jul. 2026.
Previous versions and publish date:
(2026-07-09 07:37), 1.0.0 (2015-09-29 09:44), 1.0.1 (2016-03-28 23:17)
Other packages that cited extremogram R package
View extremogram citation profile
Other R packages that extremogram depends, imports, suggests or enhances
Complete documentation for extremogram
Functions, R codes and Examples using the extremogram R package
Some associated functions: bootconf1 . bootconf2 . bootconfr . extremogram-package . extremogram1 . extremogram2 . extremogramr . permfn1 . permfn2 . permfnr . 
Some associated R codes: bootconf1.R . bootconf2.R . bootconfr.R . extremogram1.R . extremogram2.R . extremogramr.R . garchsim.R . permfn1.R . permfn2.R . permfnr.R .  Full extremogram package functions and examples
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