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meboot: Maximum Entropy Bootstrap for Time Series
Maximum entropy density based dependent data bootstrap. An algorithm is provided to create a population of time series (ensemble) without assuming stationarity. The reference paper (Vinod, H.D., 2004 <DOI:10.1016/j.jempfin.2003.06.002>) explains how the algorithm satisfies the ergodic theorem and the central limit theorem.
Getting started
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Package details |
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| Author | Hrishikesh D. Vinod [aut], Javier López-de-Lacalle [aut], Fred Viole [aut, cre] |
| Maintainer | Fred Viole <ovvo.open.source@gmail.com> |
| License | GPL (>= 2) |
| Version | 1.4-9.5 |
| Package repository | View on CRAN |
| Installation |
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