nse.boot | R Documentation |
Function which calculates the numerical standard error with bootstrap estimator.
nse.boot(x, nb, type = c("stationary", "circular"), b = NULL, lag.prewhite = 0)
x |
A numeric vector. |
nb |
The number of bootstrap replications. |
type |
The bootstrap scheme used, among |
b |
The block length for the block bootstrap. If |
lag.prewhite |
Prewhite the series before analysis (integer or |
The NSE estimator.
nse.boot
uses b.star
of the np
package
for the optimal block length selection.
David Ardia and Keven Bluteau
Politis, D.N., Romano, and J.P. (1992). A circular block-resampling procedure for stationary data. In Exploring the limits of bootstrap, John Wiley & Sons, 263-270.
Politis, D.N., Romano, and J.P. (1994). The stationary bootstrap. Journal of the American Statistical Association 89(428), 1303-1313.
Politis, D.N., White, H. (2004). Automatic block-length selection for the dependent bootstrap. Econometric Reviews 23(1), 53-70.
## Not run: n = 1000 ar = 0.9 mean = 1 sd = 1 set.seed(1234) x = c(arima.sim(n = n, list(ar = ar), sd = sd) + mean) set.seed(1234) nse.boot(x = x, nb = 1000, type = "stationary", b = NULL, lag.prewhite = 0) nse.boot(x = x, nb = 1000, type = "circular", b = NULL, lag.prewhite = NULL) nse.boot(x = x, nb = 1000, type = "circular", b = 10, lag.prewhite = NULL) ## End(Not run)
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