Re: [R] Bootstrap for Time Series

From: rdporto1 <rdporto1_at_terra.com.br>
Date: Sun 01 Apr 2007 - 20:21:10 GMT


On Sat, 31 Mar 2007 10:59:37 -0700 (PDT), Tarik wrote:

> My dissertation on bootstrapping linear time series models,
> I mainly use R language, however, I must confess that I find it
> difficult to bootstrap moving average models and ARMA models ,
> therefore I would be very grateful if you advise me on this matter.

Tarik,

a fast search for bootstrap and "time series" at http://finzi.psych.upenn.edu/search.html show some interesting packges that already exists: waveslim and boot.

The first uses wavelet techniques to decompose the series and then bootstrap it using the function dwpt.boot. The second resample time series in blocks or based on models. This seems more appropriate to your needs.

Take a look at these packages and others using the site above.

HTH, Rogerio.



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