expand.sd: Expand the Standard Deviation of Resamples

In meboot: Maximum Entropy Bootstrap for Time Series

Expand the Standard Deviation of Resamples

Description

This function expands the standard deviation of the simulated data. Expansion is needed since some of the ratios of the actual standard deviation to that of the original data are lower than 1 due to attenuation.

Usage

    expand.sd (x, ensemble, fiv=5)
  

Arguments

x	a vector of data or a time series object.
ensemble	a matrix or mts object containing resamples of the original data x.
fiv	reference value for the upper limit of a uniform distribution used in expansion. For example, if equal to 5 the standard deviation of each resample is expanded through a value from a uniform random distribution with lower limit equal to 1 and upper limit equal to 1+(5/100)=1.05.

Value

Resamples (by columns) with expanded standard deviations.

Examples

    
    set.seed(345)
    out <- meboot(x=AirPassengers, reps=100, trim=0.10, reachbnd=FALSE, elaps=TRUE) 
    exp.ens <- expand.sd(x=AirPassengers, out$ensemble)
  

meboot documentation built on Aug. 23, 2023, 1:07 a.m.