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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

Documentation:

Reference manual: meboot.pdf
Vignettes: Maximum Entropy Bootstrap for Time Series: Toy Example Exposition
Maximum Entropy Bootstrap for Time Series: The meboot R Package

Downloads:

Package source: meboot_1.4-9.4.tar.gz
Windows binaries: r-devel: meboot_1.4-9.4.zip, r-release: meboot_1.4-9.4.zip, r-oldrel: meboot_1.4-9.4.zip
macOS binaries: r-release (arm64): meboot_1.4-9.4.tgz, r-oldrel (arm64): meboot_1.4-9.4.tgz, r-release (x86_64): meboot_1.4-9.4.tgz, r-oldrel (x86_64): meboot_1.4-9.4.tgz
Old sources: meboot archive

Reverse dependencies:

Reverse depends: generalCorr
Reverse suggests: ftsa

Linking:

Please use the canonical form https://CRAN.R-project.org/package=meboot to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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