JN.VMB: The acceleration for the vectorized moving block bootstrap.

In autocorr: Testing Autocorrelation through bootstrap and surrogate methods

Description

This function computes the acceleration constants for the vectorized moving block bootstrap.

Usage

JN.VMB(data, lagmax, l)

Arguments

data	a vector of time series data.
lagmax	maximum lag at which to calculate autocorrelations.
l	block size of the vectorized moving block bootstrap

Details

Computation of this jackknife estimate of acceleration involves computing autocorrelations based on pairs of observations from samples with l consecutive observations left out at a time.

In the presence of missing values, estimates of autocorrelations are computed from complete cases, which may not be valid.

Value

a vector of the acceleration constants for autocorrelations up to lagmax.

Author(s)

Zijun Ke <[e-mail]> and Zhiyong Zhang <[e-mail]>

References

Kunsch, H. (1989). The jackknife and the bootstrap for general stationary observations. The Annals of Statistics, 17(3), 1217-1241.

See Also

pair.VMB,corr.VMB,VMB

autocorr documentation built on May 2, 2019, 6:12 p.m.