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.

Package details

AuthorHrishikesh D. Vinod <[email protected]> and Javier López-de-Lacalle
MaintainerJavier López-de-Lacalle <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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meboot documentation built on May 2, 2019, 9:13 a.m.