QregBB-package: Block Bootstrap Methods for Quantile Regression in Time...
In gregorkb/QregBB: Block Bootstrap Methods for Quantile Regression in Time Series

QregBB-package

R Documentation

Block Bootstrap Methods for Quantile Regression in Time Series

Description

Implements moving-blocks bootstrap and extended tapered-blocks bootstrap, as well as smooth versions of each, for quantile regression in time series. This package accompanies the paper: Gregory, K. B., Lahiri, S. N., & Nordman, D. J. (2018). A smooth block bootstrap for quantile regression with time series. The Annals of Statistics, 46(3), 1138-1166.

Details

Implements moving-blocks bootstrap and extended tapered-blocks bootstrap, as well as smooth versions of each, for quantile regression in time series. This package accompanies Gregory et al. (2018). This package was not yet installed at build time.
Index: This package was not yet installed at build time.
The main function is the QregBB function, which implements the moving-blocks bootstrap (MBB), the extended tapered-blocks bootstrap (ETBB), and smooth versions of each (SMBB, SETBB). The function getNPPIblksizesQR chooses the block size based on the non-parametric plug-in method described in Lahiri (2013). For the smooth methods, the bandwidth is chosen by using the function bw.SJ function on the fitted residuals; then the bandwidth matrix is the identity matrix times the value returned by bw.SJ.

Author(s)

Karl Gregory

Maintainer: Karl Gregory <gregorkb@stat.sc.edu>

References

Gregory, K. B., Lahiri, S. N., & Nordman, D. J. (2018). A smooth block bootstrap for quantile regression with time series. The Annals of Statistics, 46(3), 1138-1166.

Lahiri, S. N. (2003). Resampling Methods for Dependent Data. Springer, New York.

Examples

n <- 100
X1 <- arima.sim(model=list(ar=c(.7,.1)),n)
X2 <- arima.sim(model=list(ar=c(.2,.1)),n)
e <- arima.sim(model=list(ar=c(.7,.1)),n)
Y <- X1 + e
X <- cbind(rep(1,n),X1,X2)

QregBB.out <- QregBB(Y,X,tau=.5,l=4,B=500,h=NULL,alpha=0.05)
QregBB.out

gregorkb/QregBB documentation built on June 7, 2022, 12:31 p.m.