The hardware and bandwidth for this mirror is donated by dogado GmbH, the Webhosting and Full Service-Cloud Provider. Check out our Wordpress Tutorial.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]dogado.de.
Characterisation of the extremal dependence structure of time series, avoiding pre-processing and filtering as done typically with peaks-over-threshold methods. It uses the conditional approach of Heffernan and Tawn (2004) <doi:10.1111/j.1467-9868.2004.02050.x> which is very flexible in terms of extremal and asymptotic dependence structures, and Bayesian methods improve efficiency and allow for deriving measures of uncertainty. For example, the extremal index, related to the size of clusters in time, can be estimated and samples from its posterior distribution obtained.
| Version: | 0.3.4 |
| Imports: | evd, mvtnorm, stats, MASS, graphics, tictoc |
| Published: | 2024-09-30 |
| DOI: | 10.32614/CRAN.package.tsxtreme |
| Author: | Thomas Lugrin [aut, cre, cph] |
| Maintainer: | Thomas Lugrin <thomas.lugrin at alumni.epfl.ch> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | yes |
| Citation: | tsxtreme citation info |
| Materials: | README NEWS |
| CRAN checks: | tsxtreme results |
| Reference manual: | tsxtreme.pdf |
| Package source: | tsxtreme_0.3.4.tar.gz |
| Windows binaries: | r-devel: tsxtreme_0.3.4.zip, r-release: tsxtreme_0.3.4.zip, r-oldrel: tsxtreme_0.3.4.zip |
| macOS binaries: | r-release (arm64): tsxtreme_0.3.4.tgz, r-oldrel (arm64): tsxtreme_0.3.4.tgz, r-release (x86_64): tsxtreme_0.3.4.tgz, r-oldrel (x86_64): tsxtreme_0.3.4.tgz |
| Old sources: | tsxtreme archive |
Please use the canonical form https://CRAN.R-project.org/package=tsxtreme to link to this page.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.