bld.mbb.bootstrap

0th

Percentile

Box-Cox and Loess-based decomposition bootstrap.

Generates bootstrapped versions of a time series using the Box-Cox and Loess-based decomposition bootstrap.

Keywords
ts
Usage
bld.mbb.bootstrap(x, num, block_size = if (frequency(x) > 1) 2 * frequency(x)
  else 8)
Arguments
x

Original time series.

num

Number of bootstrapped versions to generate.

block_size

Block size for the moving block bootstrap.

Details

The procedure is described in Bergmeir et al. Box-Cox decomposition is applied, together with STL or Loess (for non-seasonal time series), and the remainder is bootstrapped using a moving block bootstrap.

Value

A list with bootstrapped versions of the series. The first series in the list is the original series.

References

Bergmeir, C., R. J. Hyndman, and J. M. Benitez (2016). Bagging Exponential Smoothing Methods using STL Decomposition and Box-Cox Transformation. International Journal of Forecasting 32, 303-312.

See Also

baggedETS.

Aliases
  • bld.mbb.bootstrap
Examples
# NOT RUN {
bootstrapped_series <- bld.mbb.bootstrap(WWWusage, 100)

# }
Documentation reproduced from package forecast, version 8.1, License: GPL (>= 3)

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