Package: tsxtreme
Type: Package
Title: Bayesian Modelling of Extremal Dependence in Time Series
Version: 0.3.4
Date: 2024-09-30
Authors@R: person("Thomas", "Lugrin", role = c("aut", "cre", "cph"), email = "thomas.lugrin@alumni.epfl.ch")
Imports: evd, mvtnorm, stats, MASS, graphics, tictoc
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.
License: GPL (>=2)
NeedsCompilation: yes
Repository: https://tlugrin.r-universe.dev
Date/Publication: 2025-03-11 19:33:48 UTC
RemoteUrl: https://github.com/tlugrin/tsxtreme
RemoteRef: HEAD
RemoteSha: 3fad3666227efdbb6b1af577454747e3e891e854
Packaged: 2026-10-16 09:27:56 UTC; root
Author: Thomas Lugrin [aut, cre, cph]
Maintainer: Thomas Lugrin <thomas.lugrin@alumni.epfl.ch>