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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 <Vinod@fordham.edu>, Javier López-de-Lacalle <javlacalle@yahoo.es>, and Fred Viole |
| Maintainer | Fred Viole <fviole@fordham.edu> |
| License | GPL (>= 2) |
| Version | 1.4-9.4 |
| Package repository | View on CRAN |
| Installation |
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