Description Usage Arguments Value Author(s) References Examples
View source: R/portfoliodiversificationR.R
This function computes a circular block-resampling bootstrap of a matrix of returns.
1 | f_circular_bloc_bootstrap(m_input_data_series, input_c, input_b, input_prob)
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m_input_data_series |
A matrix of assets or portfolios returns (one per column) |
input_c |
A numerical value (number of wrapping the data around in a circle) |
input_b |
A numerical value (length of block size - time dimension) |
input_prob |
A numerical value (probability) |
RSRL |
A numerical value (bootstrapped RSRL) |
mRSRL |
A numerical value (bootstrapped mRSRL) |
bootstapped_series |
A matrix of numerical values (bootstrapped returns) |
Jean-Baptiste Hasse
Efron, B. "Bootstrap methods: another look at the jackknife." The Annals of Statistics 7 (1979): 1-26.
Hall, Peter, Joel L. Horowitz, and Bing-Yi Jing. "On blocking rules for the bootstrap with dependent data." Biometrika 82.3 (1995): 561-574.
Politis, Dimitris N., and Joseph P. Romano. "A circular block-resampling procedure for stationary data." Exploring the limits of bootstrap 2635270 (1992).
1 2 3 4 5 6 7 8 9 10 | # NOT RUN {
# Load data
data("data_efficient_portfolios_returns")
m_example_returns <- data_efficient_portfolios_returns[,1:2]
# Compute Circular bootstap
f_circular_bloc_bootstrap(m_example_returns, 10, 2, 0.95)
# }
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