Description Usage Arguments Details Value Author(s) References Examples
Generate bootstrap samples for stationary data, using a
truncated geometric distribution to more accurately determine the value of the
p
parameter involved in the algorithm.
1 |
tseries |
a numeric vector or time series giving the original data. |
nb |
the number of bootstrap series to compute. |
b.info |
if TRUE, the value of the |
The value of the b
parameter involved in the stationary bootstrap
algorithm is determined using the heuristic laid out in Politis & White (2004).
Then, the value of the p
parameter is found by numerically solving a
polynomial of order N+1 in variable q
, where q = 1-p and N is the
length of the data supplied.
The previous polynomial is derived using the expectation of a truncated geometric
distribution (for the stochastic block length), shown in Olatayo (2014).
The general structure of the algorithm is similar to the one laid out in James & Yang (2010).
If b.info is FALSE, a matrix or time series with nb columns and length(tseries) rows
containing the bootstrap data. Each column contains one bootstrap sample.
If b.info is TRUE, a list with two fields: one containing the bootstrap data, and
another containing the b
value found.
Albert Dorador
Politis, D.N. and Romano, J.P. (1994), 'The stationary bootstrap', Journal of the American Statistical Association 89(428), 1303-1313.
Politis, D.N. and White, H. (2004), 'Automatic block-length selection for the dependent bootstrap', Econometric Reviews 23(1), 53-70.
Olatayo, T.O. (2014), 'Truncated geometric bootstrap method for timeseries stationary process', Applied Mathematics 5, 2057-2061.
James, J. and Yang, L. (2010), 'Stop-losses, maximum drawdown-at-risk and replicating financial time series with the stationary bootstrap', Quantitative Finance 10(1), 1-12.
1 2 3 4 5 6 |
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.