meboot.pdata.frame: Maximum Entropy Bootstrap for Panel Time Series Data

Description

This function applies the maximum entropy bootstraped in a panel of time series data.

Usage

meboot.pdata.frame (x, reps=999, trim=0.10, reachbnd=TRUE,
      expand.sd=TRUE, force.clt=TRUE, scl.adjustment = FALSE, sym = FALSE, elaps=FALSE,
      colsubj, coldata, coltimes, ...)

Value

A data.frame object of dimension: number of rows of x times number of replicates indicated in reps. The replicates for the panel of data are arranged by columns. Each replicate in each column is sorted with the same order stablished in the input x.

Arguments

x: a pdata.frame object containing by columns: the individual index, an optional time index and a panel of time series data.
reps: number of replicates to generate for each subject in the panel.
trim: the trimming proportion.
reachbnd: logical. If TRUE potentially reached bounds (xmin = smallest value - trimmed mean and xmax=largest value + trimmed mean) are given when the random draw happens to be equal to 0 and 1, respectively.
expand.sd: logical. If TRUE the standard deviation in the ensemble in expanded. See expand.sd.
force.clt: logical.If TRUE the ensemble is forced to satisfy the central limit theorem. See force.clt.
scl.adjustment: logical. If TRUE scale adjustment is performed to ensure that the population variance of the transformed series equals the variance of the data.
sym: logical. If TRUE an adjustment is peformed to ensure that the ME density is symmetric.
elaps: logical. If TRUE elapsed time during computations is displayed.
colsubj: the column in x that contains the individual index.
coldata: the column in x that contains the data of the variable to create the ensemble.
coltimes: an optional argument indicating the column that contains the times at which the observations for each individual are observed.
...: possible argument fiv to be passed to expand.sd.

Details

The observations in x should be arranged by individuals. The observations for each individual must be sorted by time.

The argument colsubj can be either a numeric or a character index indicating the individual or the time series to which each observation is related.

Only one variable can be replicated at a time, coldata must be of length one.

If the times at which observations are observed is provided specifying the column with the times through the argument coltimes, these times are used only to label the rows of the data.frame returned as output.

Examples

Run this code

    ## Ensemble for a panel of series of stock prices  
    data("ullwan")
    out <- meboot(ullwan, reps=99, colsubj=2, coldata=4)