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meboot (version 1.4-9.2)

Maximum Entropy Bootstrap for Time Series

Description

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

2,841

Version

1.4-9.2

License

GPL (>= 2)

Maintainer

Fred Viole

Last Published

October 6th, 2021

Functions in meboot (1.4-9.2)

meboot.pdata.frame

Maximum Entropy Bootstrap for Panel Time Series Data
USfygt

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

Enforce Central Limit Theorem
USconsum

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

Internal Function
expand.sd

Expand the Standard Deviation of Resamples
flexMeboot

Flexible Extension of the Maximum Entropy Bootstrap Procedure
meboot

Generate Maximum Entropy Bootstrapped Time Series Ensemble
checkConv

Check Convergence
meboot.part

meboot Internal Function
mebootSpear

Generate Maximum Entropy Bootstrapped Time Series Ensemble Specifying Rank Correlation
null.ci

Get Confidence Interval Around Specified NullZero Total
olsHALL.b

OLS regression model for consumption
ullwan

Data about Some of the S\&P 500 Stock Prices
zero.ci

Get Confidence Interval Around Zero