stationary_boot: T-tests using stationary bootstrap
In FK83/forecastES3: Replication Materials for "Robust Forecast Evaluation of Expected Shortfall" (Ziegel et al, 2018)
Description
Usage
Arguments
Value
View source: R/murphy_procs_Oct26.R
Description
T-tests using stationary bootstrap
Usage
1
stationary_boot(dat, n_boot, block_length, eps = 1e-06)
Arguments
dat
Matrix, each column is a time series
n_boot
Nr of bootstrap iterations
block_length
Expected block length of stationary bootstrap
eps
Threshold for setting t-stat to NA
Value
t-stats
FK83/forecastES3 documentation built on May 23, 2019, 7:17 a.m.
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Description Usage Arguments Value
View source: R/murphy_procs_Oct26.R
Description
T-tests using stationary bootstrap
Usage
1 | stationary_boot(dat, n_boot, block_length, eps = 1e-06)
|
Arguments
dat |
Matrix, each column is a time series |
n_boot |
Nr of bootstrap iterations |
block_length |
Expected block length of stationary bootstrap |
eps |
Threshold for setting t-stat to NA |
Value
t-stats
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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