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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 |
| Reference manual: | meboot.pdf |
| Vignettes: |
Maximum Entropy Bootstrap for Time Series: Toy Example Exposition Maximum Entropy Bootstrap for Time Series: The meboot R Package |
| 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 depends: | generalCorr |
| Reverse suggests: | ftsa |
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