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meboot (version 1.1-1)

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

1.1-1

License

GPL (>= 2)

Maintainer

Javier López-de-Lacalle

Last Published

December 6th, 2009

Functions in meboot (1.1-1)

slider.mts

Slider for Selecting a Single Time Series to Plot from a 'mts' Object
USconsum

Consumption and Disposable Income Data (Annual 1948-1998)
null.ci

Get Confidence Interval Around Specified NullZero Total
zero.ci

Get Confidence Interval Around Zero
meboot.pdata.frame

Maximum Entropy Bootstrap for Panel Time Series Data
meboot

Generate Maximum Entropy Bootstrapped Time Series Ensemble
expand.sd

Expand the Standard Deviation of Resamples
force.clt

Enforce Central Limit Theorem
olsHALL.b

OLS regression model for consumption
checkConv

Check Convergence
USfygt

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

Data about Some of the S&P 500 Stock Prices
meboot.default

Generate Maximum Entropy Bootstrapped Time Series Ensemble