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meboot (version 1.0-2)

Maximum Entropy Bootstrap for Time Series

Description

This package performs maximum entropy density based dependent data bootstrap. An algorithm is provided to create a population of time series (ensemble) without assuming stationarity. The reference paper (Vinod, H.D., 2004) explains how the algorithm satisfies the ergodic theorem and the central limit theorem.

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Version

Install

install.packages('meboot')

Monthly Downloads

2,881

Version

1.0-2

License

GPL (>= 2)

Maintainer

Javier López-de-Lacalle

Last Published

November 20th, 2009

Functions in meboot (1.0-2)

meboot.default

Generate Maximum Entropy Bootstrapped Time Series Ensemble
expand.sd

Expand the Standard Deviation of Resamples
USconsum

Consumption and Disposable Income Data (Annual 1948-1998)
ullwan

Data about Some of the S&P 500 Stock Prices
force.clt

Enforce Central Limit Theorem
zero.ci

Get Confidence Interval Around Zero
meboot.pdata.frame

Maximum Entropy Bootstrap for Panel Time Series Data
USfygt

Long-term Treasury Bond Rates and Deficit Data Set (Annual 1948-200)
checkConv

Check Convergence
meboot

Generate Maximum Entropy Bootstrapped Time Series Ensemble
slider.mts

Slider for Selecting a Single Time Series to Plot from a 'mts' Object
olsHALL.b

OLS regression model for consumption
null.ci

Get Confidence Interval Around Specified NullZero Total