boot_autocov: A function that computes the bootstrapped autocovariances for...

In timesboot: Bootstrap computations for time series objects

Description

The function resamples the time series object and returns the average , upper, and lower bounds for the autocovariances for each lag.

Usage

boot_autocov(series, replic = 5000, plot = TRUE, alpha = 0.05)

Arguments

series	A time series object
replic	The amount of boostrap replicates
plot	TRUE,FALSE indicating whether the plot is desired
alpha	the alpha needed for the intervals

Value

average	The average ACF for each lag
lower	The ACF lower quantile for each lag
upper	The ACF upper quantile for each lag

Author(s)

Francisco Juretig

Examples

boot_autocov(AirPassengers,replic=1000,alpha=0.05)


function (series, replic = 5000, plot = TRUE, alpha = 0.05) 
{
    if (is.ts(series) == TRUE) {
        library(boot)
        kas = tsboot(series, statistic, R = replic, sim = "scramble")
        quantiles = matrix(0, length(kas$t[1, ]), 3)
        for (i in 2:length(kas$t[1, ])) {
            cp = kas$t[, i]
            quantiles[i, 1] = quantile(cp, alpha)
            quantiles[i, 2] = quantile(cp, 1 - alpha/2)
            quantiles[i, 3] = mean(cp)
        }
        quantiles = quantiles[-1, ]
        if (plot == TRUE) {
            par(mfrow = c(1, 2))
            x = seq(1, length(quantiles[, 1]), 1)/frequency(series)
            plot(x, quantiles[, 1], type = "l", col = "blue", 
                main = "Bootstraped Correlogram", ylab = "value", 
                lwd = 1, xlab = "lag")
            polygon(c(x, rev(x)), c(quantiles[, 1], rev(quantiles[, 
                2])), col = "skyblue")
            lines(x, quantiles[, 3], type = "o", col = "black", 
                pch = 20)
            abline(a = 0, b = 0)
            plot(acf(series, plot = FALSE), main = "Asymptotic Correlogram", 
                ylim = c(-1, 1))
        }
        lista = list(average = quantiles[, 1], upper = quantiles[, 
            2], lower = quantiles[, 3])
        return(lista)
    }
    else {
        return("Object is not a time-series")
    }
  }

timesboot documentation built on May 2, 2019, 2:37 p.m.