crossq.partial.sb: Stationary Bootstrap for the Partial Cross-Quantilogram

Description Usage Arguments Details Value Author(s) References

View source: R/crossq.partial.sb.R

Description

Returns critical values for the partial cross-quantilogram, based on the stationary bootstrap.

Usage

1
crossq.partial.sb(DATA, vecA, k, gamma, Bsize, sigLev)

Arguments

DATA

The original data matrix

vecA

A pair of two probability values at which sample quantiles are estimated

k

A lag order

gamma

A parameter for the stationary bootstrap

Bsize

The number of repetition of bootstrap

sigLev

The statistical significance level

Details

This function generates critical values for for the partial cross-quantilogram, using the stationary bootstrap in Politis and Romano (1994).

Value

The boostrap critical values

Author(s)

Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang

References

Politis, Dimitris N., and Joseph P. Romano. "The stationary bootstrap." Journal of the American Statistical Association 89.428 (1994): 1303-1313.


quantilogram documentation built on July 1, 2020, 10:26 p.m.