blocklength0.1.5 package

Select an Optimal Block-Length to Bootstrap Dependent Data (Block Bootstrap)

hhj

Hall, Horowitz, and Jing (1995) "HHJ" Algorithm to Select the Optimal ...

plot.hhj

Plot MSE Function for HHJ Algorithm

plot.pwsd

Plot Correlogram for Politis and White Auto−-Correlation Implied Hypo...

pwsd

Politis and White (2004) Spectral Density "PWSD" Automatic Block-Lengt...

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A set of functions to select the optimal block-length for a dependent bootstrap (block-bootstrap). Includes the Hall, Horowitz, and Jing (1995) <doi:10.1093/biomet/82.3.561> cross-validation method and the Politis and White (2004) <doi:10.1081/ETC-120028836> Spectral Density Plug-in method, including the Patton, Politis, and White (2009) <doi:10.1080/07474930802459016> correction with a corresponding set of S3 plot methods.

  • Maintainer: Alec Stashevsky
  • License: GPL (>= 2)
  • Last published: 2022-03-02

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