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.

Package details

AuthorHrishikesh D. Vinod <>, Javier López-de-Lacalle <>, and Fred Viole
MaintainerFred Viole <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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meboot documentation built on Oct. 6, 2021, 9:07 a.m.