FitAR (version 1.94)

Boot.FitAR: Simulate a Fitted AR

Description

Simulate a realization from a fitted AR model. This is useful in the parametric bootstrap. Generic function for "Boot" method.

Usage

"Boot"(obj, R=1, ...)

Arguments

obj
the output from FitAR
R
number of bootstrap replications
...
optional arguments

Value

A simulated time series with the same length as the original fitted time series is produced when R=1. When R>1, a matrix with R columns is produced with each column a separate bootstrap realization.

See Also

Boot SimulateGaussianAR

Examples

#Plot log(lynx) time series and simulation
#
ans <- FitAR(log(lynx), 8)
z<-Boot.FitAR(ans)
par(mfrow=c(2,1))
TimeSeriesPlot(log(lynx))
title(main="log(lynx) time series")
TimeSeriesPlot(z)
title(main="Simulated AR(8), fitted to log lynx")
#par(mfrow=c(1,1)
#
#Use bootstrap to compute standard errors of parameters
#takes about 18 seconds on a 3.6 GHz PC

## Not run: 
# ptm <- proc.time() #user time
# R<-100  #number of bootstrap iterations
# p<-c(1,2,4,7,10,11)
# ans<-FitAR(log(lynx),p)
# out<-Boot(ans, R)
# fn<-function(z) GetFitARz(z,p)$zetaHat
# sdBoot<-sqrt(diag(var(t(apply(out,fn,MARGIN=2)))))
# sdLargeSample<-coef(ans)[,2][1:6]
# sd<-matrix(c(sdBoot,sdLargeSample),ncol=2)
# dimnames(sd)<-list(names(sdLargeSample),c("Bootstrap","LargeSample"))
# ptm<-(proc.time()-ptm)[1]
# sd
# ## End(Not run)