Boot.ts: Parametric Time Series Bootstrap

In FitAR: Subset AR Model Fitting

Description

An AR(p) model is fit to the time series using the AIC and then it is simulated.

Usage

## S3 method for class 'ts'
Boot(obj, R=1, ...)

Arguments

obj	a time series, class "ts"
R	number of bootstrap replicates
...	optional arguments

Value

A time series or vector.

Note

Parametric and nonparametric time series bootstraps are discussed by Davison and Hinkley (1997, Ch.8.2).

Author(s)

A.I. McLeod and Y. Zhang

References

Davison, A.C. and Hinkley, D.V. (1997), Bootstrap Methods and Their Application. Cambridge University Press.

See Also

Boot.FitAR. Nonparametric bootstrap for time series is available in the function tsboot in the library boot.

Examples

layout(matrix(c(1,2,1,2),ncol=2))
TimeSeriesPlot(SeriesA)
TimeSeriesPlot(Boot(SeriesA),main="Bootstrap of Series A")

FitAR documentation built on May 2, 2019, 3:22 a.m.