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

In quantilogram: Cross-Quantilogram

Stationary Bootstrap for the Partial Cross-Quantilogram

Description

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

Usage

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 Sept. 11, 2024, 5:56 p.m.