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meboot (version 1.3-0)

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

1.3-0

License

GPL (>= 2)

Maintainer

Javier López-de-Lacalle

Last Published

July 23rd, 2013

Functions in meboot (1.3-0)

Internal Function

Expand the Standard Deviation of Resamples

Enforce Central Limit Theorem

Get Confidence Interval Around Zero

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

Flexible Extension of the Maximum Entropy Bootstrap Procedure

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

Data about Some of the S&P 500 Stock Prices

Consumption and Disposable Income Data (Annual 1948-1998)

OLS regression model for consumption

meboot Internal Function

meboot.pdata.frame

Maximum Entropy Bootstrap for Panel Time Series Data

Get Confidence Interval Around Specified NullZero Total

Generate Maximum Entropy Bootstrapped Time Series Ensemble

Check Convergence