Maximum Entropy Bootstrap for Time Series: ThemebootRPackage
نویسندگان
چکیده
منابع مشابه
Sieve Bootstrap for Time Series Sieve Bootstrap for Time Series
We study a bootstrap method which is based on the method of sieves. A linear process is approximated by a sequence of autoregressive processes of order p = pn, where pn ! 1 ; p n = on as the sample size n ! 1. F or given data, we t h e n estimate such a n A R pn model and generate a bootstrap sample by resampling from the residuals. This sieve bootstrap enjoys a nice nonparametric property. We ...
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A brief discussion is given of the traditional version of the Maximum Entropy Method, including a review of some of the criticism that has been made in regard to its use in statistical inference. Motivated by these questions, a modified version of the method is then proposed and applied to an example in order to demonstrate its use with a given time series.
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The bootstrap is a method for estimating the distribution of an estimator or test statistic by resampling one’s data or a model estimated from the data. The methods that are available for implementing the bootstrap and the accuracy of bootstrap estimates depend on whether the data are a random sample from a distribution or a time series. This paper is concerned with the application of the boots...
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ژورنال
عنوان ژورنال: Journal of Statistical Software
سال: 2009
ISSN: 1548-7660
DOI: 10.18637/jss.v029.i05