ADTSA (version 1.0.1)

pairwise_MBL: Creating Pairs of Entries for the Vectorized Moving Block

Description

This function yields index positions of pairs of observations for the vectorized moving block bootstrap.

Usage

pairwise_MBL(mat, lgmx, l_ts)

Value

A list of pairs of indices for computing autocorrelations up to lagmax, each containing a matrix of indices for autocorrelation at a lag no greater than lagmax.

Arguments

mat

a matrix giving position indices for observations in each resampled block. Columns represent different blocks.

lgmx

maximum lag at which to calculate autocorrelations.

l_ts

time series length or the number of time points.

Author

Hossein hassani, Masoud yarmohammadi, Mohammad reza yeganegi and Leila Marvian Mashhad.

Details

Autocorrelation at lag h is a statistical measure that assesses the similarity between observations in a time series that are h lags apart. pairwise_MBL returns indices for both the observations in id.M, as well as those h lags apart.If some indices exceed the length of the time series, then the corresponding pairs of observations are discarded.

Examples

mat <- matrix(c(1, 2, 3, 4, 5, 6), nrow = 3, ncol = 2)
lgmx <- 2
l_ts <- 5
pairwise_MBL(mat, lgmx, l_ts)