pairwise_MBL: Creating Pairs of Entries for the Vectorized Moving Block

In ADTSA: Time Series Analysis

Creating Pairs of Entries for the Vectorized Moving Block

Description

This function yields index positions of pairs of observations for the vectorized moving block bootstrap.

Usage

pairwise_MBL(mat, lgmx, l_ts)

Arguments

mat	a matrix giving position indices for observations in each resampled block. Columns represent different blocks.
lgmx	maximum lag at which to calculate autocorrelations.
l_ts	time series length or the number of time points.

Details

Autocorrelation at lag h is a statistical measure that assesses the similarity between observations in a time series that are h lags apart. pairwise_MBL returns indices for both the observations in id.M, as well as those h lags apart.If some indices exceed the length of the time series, then the corresponding pairs of observations are discarded.

Value

A list of pairs of indices for computing autocorrelations up to lagmax, each containing a matrix of indices for autocorrelation at a lag no greater than lagmax.

Author(s)

Hossein hassani, Masoud yarmohammadi, Mohammad reza yeganegi and Leila Marvian Mashhad.

Examples

mat <- matrix(c(1, 2, 3, 4, 5, 6), nrow = 3, ncol = 2)
lgmx <- 2
l_ts <- 5
pairwise_MBL(mat, lgmx, l_ts)

ADTSA documentation built on May 29, 2024, 11:48 a.m.