MovingBlocks-class: Class for Moving Blocks Bootstrap implementation.

In quantspec: Quantile-Based Spectral Analysis of Time Series

Description

MovingBlocks is an S4 class that implements the moving blocks bootstrap described in K\"unsch (1989).

Details

MovingBlocks extends the S4 class BootPos and the remarks made in its documentation apply here as well.

The Moving Blocks Bootstrap method of K\"unsch (1989) resamples blocks randomly, with replacement from the collection of overlapping blocks of length l that start with observation 1, 2, ..., N-l+1. A more precise description of the procedure can also be found in Lahiri (1999), p. 389.

References

K\"unsch, H. R. (1989). The jackknife and the bootstrap for general stationary observations. The Annals of Statistics, 17, 1217–1261.

See Also

getPositions-MovingBlocks

quantspec documentation built on July 15, 2020, 1:07 a.m.