make_bootstrap_historical: Make a bootstrap-sampled series of returns

In ryanholbrook/investmentsim: Investment Simulator

Description

Creates a time-series of returns sampled from historical data, with the sampling respecting time dependence.

Usage

make_bootstrap_historical(ts, block_size = 5)

Arguments

ts	an xts time-series of absolute returns
block_size	the size of the continguous blocks to sample

Value

a time series of returns with the same length as ts

ryanholbrook/investmentsim documentation built on Nov. 5, 2019, 5:10 a.m.