calculate bootstrap inference
1  bootTimeInference(ret, b, M, Delta_null = 0)

ret 
refers to a returns matrix (columns = 2) 
b 
blocksize to use. Choose the optimal blocksize by

M 
number of bootstrap resamples (see Eq. 9 in vignette) 
Delta_null 
refers to null hypothesis, where Delta means the difference in sharpe ratio 
a list with estimated difference in sharpe ratio and pvalue of the
test with Delat_null
as null hypothesis
1 2 3 4 5 6 7 8 9 10  ## Not run:
DATA < bootTimeInference:::ret.hedge
opt < blockSizeCalibrate(DATA, b_vec = c(1,2,4,6,8,10), K = 5000)
bootTimeInference(DATA, b = opt$b.optimal, M = 4999)
## End(Not run)
DATA < bootTimeInference:::ret.hedge
# small example, please choose an appropiate K (see vignette)
opt < blockSizeCalibrate(DATA, b_vec = c(1,2,4,6), K = 10)
bootTimeInference(DATA, b = opt$b.optimal, M = 4999)

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.
All documentation is copyright its authors; we didn't write any of that.