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) explains how the algorithm satisfies the ergodic theorem and the central limit theorem.

Author
Hrishikesh D. Vinod <Vinod@fordham.edu> and Javier López-de-Lacalle
Date of publication
2016-11-18 10:58:05
Maintainer
Javier López-de-Lacalle <javlacalle@yahoo.es>
License
GPL (>= 2)
Version
1.4-7

View on CRAN

Man pages

checkConv
Check Convergence
elapsedtime
Internal Function
expand.sd
Expand the Standard Deviation of Resamples
flexMeboot
Flexible Extension of the Maximum Entropy Bootstrap Procedure
force.clt
Enforce Central Limit Theorem
meboot
Generate Maximum Entropy Bootstrapped Time Series Ensemble
meboot.part
meboot Internal Function
meboot.pdata.frame
Maximum Entropy Bootstrap for Panel Time Series Data
null.ci
Get Confidence Interval Around Specified NullZero Total
olsHALL.b
OLS regression model for consumption
ullwan
Data about Some of the S&P 500 Stock Prices
USconsum
Consumption and Disposable Income Data (Annual 1948-1998)
USfygt
Long-term Treasury Bond Rates and Deficit Data Set (Annual...
zero.ci
Get Confidence Interval Around Zero

Files in this package

meboot
meboot/inst
meboot/inst/CITATION
meboot/inst/doc
meboot/inst/doc/index.html
meboot/inst/doc/meboot.Rnw
meboot/inst/doc/meboot.pdf
meboot/src
meboot/src/mrapprox.c
meboot/NAMESPACE
meboot/data
meboot/data/ullwan.rda
meboot/data/USconsum.rda
meboot/data/USfygt.rda
meboot/R
meboot/R/force.clt.R
meboot/R/panel.meboot.R
meboot/R/checkConv.R
meboot/R/null.ci.R
meboot/R/zero.ci.R
meboot/R/olsHALL.b.R
meboot/R/flexMeboot.R
meboot/R/meboot.R
meboot/R/expand.sd.R
meboot/vignettes
meboot/vignettes/meboot.Rnw
meboot/MD5
meboot/build
meboot/build/vignette.rds
meboot/DESCRIPTION
meboot/man
meboot/man/zero.ci.Rd
meboot/man/USfygt.Rd
meboot/man/USconsum.Rd
meboot/man/checkConv.Rd
meboot/man/flexMeboot.Rd
meboot/man/meboot.pdata.frame.Rd
meboot/man/force.clt.Rd
meboot/man/elapsedtime.Rd
meboot/man/olsHALL.b.Rd
meboot/man/null.ci.Rd
meboot/man/meboot.part.Rd
meboot/man/meboot.Rd
meboot/man/expand.sd.Rd
meboot/man/ullwan.Rd