pair.VMB: Forming pairs of observations for the vectorized moving block...
In autocorr: Testing Autocorrelation through bootstrap and surrogate methods

Description Usage Arguments Details Value Author(s) References See Also

This function pair.VMB returns position indices of pairs of observations for the vectorized moving block bootstrap.

1	pair.VMB(id.M, lagmax, n.t)

`id.M`	a matrix giving position indices for observations in each resampled block. Columns represent different blocks.
`lagmax`	maximum lag at which to calculate autocorrelations.
`n.t`	time series length or the number of time points.

For autocorrelation at lag h, pair.VMB returns indices in id.M as well as indices for observations h lag apart. If some indices exceed the time series length, then the corresponding pairs of observations are removed.

a list of indices of pairs of observations for computing autocorrelations up to lagmax, each of which is a matrix of indices for autocorrelation at a lag smaller than or equal to lagmax.

Zijun Ke <keziyun@mail.sysu.edu.cn> and Zhiyong Zhang <zhiyongzhang@nd.edu>

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

Zhang, G., & Browne, M. W. (2010). Bootstrap standard error estimates in dynamic factor analysis. Multivariate Behavioral Research, 45(453-482).

corr.VMB,JN.VMB,VMB

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