Introduction | Case Study 1: Log Returns from the S&P 500 Index | Extracting Block Maxima | Bootstrap Estimation of the 0.99 Quantile | Bootstrapping the 0.99 Quantile | Comparing Variance of Bootstrap Replicates | Visualizing the Bootstrap Quantile on the Time Series | Case Study 2: Maximal Temperature at Hohenpeißenberg | Bootstrapping Return Levels | Visualizing the Return Level on the Time Series
Package: maxbootR 1.0.0
Torben Staud
maxbootR: Efficient Bootstrap Methods for Block Maxima
Implements state-of-the-art block bootstrap methods for extreme value statistics based on block maxima. Includes disjoint blocks, sliding blocks, relying on a circular transformation of blocks. Fast C++ backends (via 'Rcpp') ensure scalability for large time series.
Authors:
maxbootR_1.0.0.tar.gz
maxbootR_1.0.0.zip(r-4.7-x86_64)maxbootR_1.0.0.zip(r-4.6-x86_64)maxbootR_1.0.0.zip(r-4.5-x86_64)
maxbootR_1.0.0.tgz(r-4.6-x86_64)maxbootR_1.0.0.tgz(r-4.6-arm64)maxbootR_1.0.0.tgz(r-4.5-x86_64)maxbootR_1.0.0.tgz(r-4.5-arm64)
maxbootR_1.0.0.tar.gz(r-4.7-arm64)maxbootR_1.0.0.tar.gz(r-4.7-x86_64)maxbootR_1.0.0.tar.gz(r-4.6-arm64)maxbootR_1.0.0.tar.gz(r-4.6-x86_64)
maxbootR_1.0.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
maxbootR/json (API)
| # Install 'maxbootR' in R: |
| install.packages('maxbootR', repos = c('https://torbenstaud.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/torbenstaud/maxbootr/issues
Pkgdown/docs site:https://torbenstaud.github.io
Datasets:
- logret_data - Example Log Return Time Series
- temp_data - Example Temperature Time Series
Last updated from:3c2941d140. Checks:13 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 151 | ||
| linux-devel-x86_64 | OK | 191 | ||
| source / vignettes | OK | 225 | ||
| linux-release-arm64 | OK | 168 | ||
| linux-release-x86_64 | OK | 195 | ||
| macos-release-arm64 | OK | 175 | ||
| macos-release-x86_64 | OK | 279 | ||
| macos-oldrel-arm64 | OK | 195 | ||
| macos-oldrel-x86_64 | OK | 236 | ||
| windows-devel | OK | 128 | ||
| windows-release | OK | 163 | ||
| windows-oldrel | OK | 108 | ||
| wasm-release | OK | 115 |
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Compute Block Maxima from a Time Series | blockmax |
| Example Log Return Time Series | logret_data |
| Bootstrap Estimation for Block Maxima | maxbootr |
| Example Temperature Time Series | temp_data |