tsxtreme

MaRDI QIDQ7386815CRANFDO

Authors Thomas Lugrin

Last update 30 September 2024

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier PACKAGES.rds, 0.3.1, 0.3.2, 0.3.3, 0.3, 0.3.4

Description

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.

Cites work

• A Conditional Approach for Multivariate Extreme Values (with Discussion)

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