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 <Vinod@fordham.edu>, Javier López-de-Lacalle <javlacalle@yahoo.es>, and Fred Viole
MaintainerFred Viole <fviole@fordham.edu>
LicenseGPL (>= 2)
Version1.4-9.2
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("meboot")

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meboot documentation built on Oct. 6, 2021, 9:07 a.m.