boostrap_ci_avlr function

Compute bootstrap confidence intervals for the AVLR estimator

boostrap_ci_avlr(model, B, n, qn, wn, rw, dr, alpha)

Arguments

• model: A ts.model object that was estimated with the avlr function.
• B: A double for the number of bootsrap replicates to compute the confidence intervals.
• n: A double with the sample size.
• qn: A vec specifying on which scales the parameters of a Quantization Noise (QN) was computed.
• wn: A vec specifying on which scales the parameters of a White Noise (WN) was computed.
• rw: A vec specifying on which scales the parameters of a Random Wakk (RW) was computed.
• dr: A vec specifying on which scales the parameters of a Drift (DR) was computed.
• alpha: A double defining the level of the confidence interval (1 - alpha).

Returns

A list that contains:

• "ci": The 1-alpha confidence intervals.
• "sd": The standard deviation of the estimated parameters.