sb.index: Stationary Bootstrap Index

Description Usage Arguments Details Value Author(s) References

View source: R/sb.index.R

Description

A subfunction for the statioanry bootstrap

Usage

1
sb.index(Nsize, gamma)

Arguments

Nsize

The size of the stationary bootstrap resample

gamma

A parameter for the stationary boostrap.

Details

This function resamples blocks of indicies with random block lengths. This code follows the MATLAB file of the Oxford MFE Toolbox written by Kevin Sheppard.

Value

A vector of indicies for the stationary bootstrap

Author(s)

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

References

The Oxford MFE toolbox (http://www.kevinsheppard.com/wiki/MFE_Toolbox) by Kevin Sheppard


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