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.


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Reference manual

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install.packages("meboot")

1.4-9.2 by Fred Viole, 12 days ago


Browse source code at https://github.com/cran/meboot


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, hdrcde

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


Imported by NNS.

Depended on by generalCorr.

Suggested by ftsa.


See at CRAN