meboot1.4-9.4 package

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.

  • Maintainer: Fred Viole
  • License: GPL (>= 2)
  • Last published: 2023-08-22