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meboot (version 1.1-3)

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

1.1-3

License

GPL (>= 2)

Maintainer

Javier López-de-Lacalle

Last Published

January 6th, 2012

Functions in meboot (1.1-3)

Enforce Central Limit Theorem

Data about Some of the S&P 500 Stock Prices

Expand the Standard Deviation of Resamples

Consumption and Disposable Income Data (Annual 1948-1998)

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

Maximum Entropy Bootstrap for Panel Time Series Data

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

OLS regression model for consumption

Flexible Extension of the Maximum Entropy Bootstrap Procedure

Get Confidence Interval Around Specified NullZero Total

Generate Maximum Entropy Bootstrapped Time Series Ensemble

Get Confidence Interval Around Zero

Check Convergence