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meboot (version 1.4-5)

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

1.4-5

License

GPL (>= 2)

Maintainer

Javier López-de-Lacalle

Last Published

September 28th, 2014

Functions in meboot (1.4-5)

meboot.part

meboot Internal Function
flexMeboot

Flexible Extension of the Maximum Entropy Bootstrap Procedure
zero.ci

Get Confidence Interval Around Zero
null.ci

Get Confidence Interval Around Specified NullZero Total
elapsedtime

Internal Function
olsHALL.b

OLS regression model for consumption
force.clt

Enforce Central Limit Theorem
ullwan

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

Maximum Entropy Bootstrap for Panel Time Series Data
expand.sd

Expand the Standard Deviation of Resamples
meboot

Generate Maximum Entropy Bootstrapped Time Series Ensemble
checkConv

Check Convergence
USfygt

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

Consumption and Disposable Income Data (Annual 1948-1998)