bfa_boot2fast_ls: Fast Double Bootstrap of Least Squares Estimators of BAR(p) Models
Description
This function performs fast double bootstrapping of the least squares
estimators of the autoregressive coefficients in a bifurcating autoregressive
(BAR) model of any order p as described in Elbayoumi and Mostafa (2020).
Usage
bfa_boot2fast_ls(z, p, burn = 5, B)
Value
boot_est
a matrix containing the first-stage bootstrapped
least squares estimates of the autoregressive coefficients
boot2
a
matrix containing the second-stage bootstrapped least squares estimates of
the autoregressive coefficients
Arguments
z
a numeric vector containing the tree data
p
an integer determining the order of bifurcating autoregressive model
to be fit to the data
burn
number of tree generations to discard before starting the
bootstrap sample (replicate)
B
number of bootstrap samples (replicates) used in first round of
bootstrapping
References
Elbayoumi, T. M. & Mostafa, S. A. (2020). On the estimation bias
in bifurcating autoregressive models. Stat, 1-16.