Package: tsxtreme 0.3.3

tsxtreme: Bayesian Modelling of Extremal Dependence in Time Series

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.

Authors:Thomas Lugrin

tsxtreme_0.3.3.tar.gz
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tsxtreme_0.3.3.tgz(r-4.4-x86_64)tsxtreme_0.3.3.tgz(r-4.4-arm64)tsxtreme_0.3.3.tgz(r-4.3-x86_64)tsxtreme_0.3.3.tgz(r-4.3-arm64)
tsxtreme_0.3.3.tar.gz(r-4.5-noble)tsxtreme_0.3.3.tar.gz(r-4.4-noble)
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tsxtreme.pdf |tsxtreme.html
tsxtreme/json (API)

# Install 'tsxtreme' in R:
install.packages('tsxtreme', repos = c('https://tlugrin.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/tlugrin/tsxtreme/issues

Uses libs:
  • c++– GNU Standard C++ Library v3

On CRAN:

2.70 score 7 scripts 268 downloads 16 exports 4 dependencies

Last updated 4 years agofrom:9f49d56dff. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 14 2024
R-4.5-win-x86_64OKOct 14 2024
R-4.5-linux-x86_64OKOct 14 2024
R-4.4-win-x86_64OKOct 14 2024
R-4.4-mac-x86_64OKOct 14 2024
R-4.4-mac-aarch64OKOct 14 2024
R-4.3-win-x86_64OKOct 14 2024
R-4.3-mac-x86_64OKOct 14 2024
R-4.3-mac-aarch64OKOct 14 2024

Exports:bayesparamschifitdep2fitdepfitdlaplis.bayesfitis.bayesparamsis.depmeasureis.stepfitplaplqlaplrlaplstepfittheta2fitthetafitthetaruns

Dependencies:evdMASSmvtnormtictoc

Readme and manuals

Help Manual

Help pageTopics
Bayesian Modelling of Extremal Dependence in Time Seriestsxtreme-package tsxtreme
Traces from MCMC outputbayesfit is.bayesfit plot.bayesfit print.bayesfit summary.bayesfit
Parameters for the semi-parametric approachbayesparams is.bayesparams print.bayesparams summary.bayesparams
Dependence model fit (stepwise)dep2fit
Dependence model fitdepfit
Dependence measures estimatesdepmeasure is.depmeasure plot.depmeasure print.depmeasure summary.depmeasure
Estimate dependence measureschifit depmeasures thetafit
The Laplace Distributiondlapl plapl qlapl rlapl
Estimates from stepwise fitis.stepfit plot.stepfit print.stepfit stepfit summary.stepfit
Fit time series extremestheta2fit
Runs estimatorthetaruns