Maximum Entropy Bootstrap for Time Series

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.


Reference manual

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1.4-8 by Fred Viole, a year ago

Browse source code at

Authors: Hrishikesh D. Vinod <[email protected]> , Javier L√≥pez-de-Lacalle <[email protected]> , and Fred Viole

Documentation:   PDF Manual  

Task views: Econometrics, Time Series Analysis

GPL (>= 2) license

Depends on dynlm, nlme, tdigest

Suggests boot, car, ConvergenceConcepts, geepack, lmtest, strucchange, plm, zoo

Imported by NNS.

Depended on by generalCorr.

Suggested by ftsa.

See at CRAN