bld.mbb.bootstrap | R Documentation |
Generates bootstrapped versions of a time series using the Box-Cox and Loess-based decomposition bootstrap.
bld.mbb.bootstrap(x, num, block_size = NULL)
x |
Original time series. |
num |
Number of bootstrapped versions to generate. |
block_size |
Block size for the moving block bootstrap. |
The procedure is described in Bergmeir et al. Box-Cox decomposition is applied, together with STL or Loess (for non-seasonal time series), and the remainder is bootstrapped using a moving block bootstrap.
A list with bootstrapped versions of the series. The first series in the list is the original series.
Christoph Bergmeir, Fotios Petropoulos
Bergmeir, C., R. J. Hyndman, and J. M. Benitez (2016). Bagging Exponential Smoothing Methods using STL Decomposition and Box-Cox Transformation. International Journal of Forecasting 32, 303-312.
baggedETS
.
bootstrapped_series <- bld.mbb.bootstrap(WWWusage, 100)
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