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meboot (version 1.4-9.4)

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

581

Version

1.4-9.4

License

GPL (>= 2)

Maintainer

Fred Viole

Last Published

August 22nd, 2023

Functions in meboot (1.4-9.4)

force.clt

Enforce Central Limit Theorem
meboot.pdata.frame

Maximum Entropy Bootstrap for Panel Time Series Data
elapsedtime

Internal Function
flexMeboot

Flexible Extension of the Maximum Entropy Bootstrap Procedure
meboot

Generate Maximum Entropy Bootstrapped Time Series Ensemble
USconsum

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

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

Check Convergence
meboot.part

meboot Internal Function
expand.sd

Expand the Standard Deviation of Resamples
zero.ci

Get Confidence Interval Around Zero
olsHALL.b

OLS regression model for consumption
mebootSpear

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

Get Confidence Interval Around Specified NullZero Total
ullwan

Data about Some of the S&P 500 Stock Prices