sb.index: Stationary Bootstrap Index
In quantilogram: Cross-Quantilogram
sb.index R Documentation
Stationary Bootstrap Index
Description
A subfunction for the statioanry bootstrap
Usage
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 March 18, 2022, 5:29 p.m.
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| sb.index | R Documentation |
Stationary Bootstrap Index
Description
A subfunction for the statioanry bootstrap
Usage
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
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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