meboot: 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 <doi:10.1016/j.jempfin.2003.06.002>) explains how the algorithm satisfies the ergodic theorem and the central limit theorem.
| Version: | 1.4-9.4 |
| Depends: | R (≥ 3.5.0),dynlm,nlme,tdigest,hdrcde |
| Suggests: | boot,car,ConvergenceConcepts,geepack,lmtest,strucchange,plm,zoo |
| Published: | 2023-08-22 |
| DOI: | 10.32614/CRAN.package.meboot |
| Author: | Hrishikesh D. Vinod, Javier López-de-Lacalle, and Fred Viole |
| Maintainer: | Fred Viole <fviole at fordham.edu> |
| License: | GPL-2 |GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | yes |
| Citation: | meboot citation info |
| In views: | Econometrics,TimeSeries |
| CRAN checks: | meboot results |
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