sieveboot {boodd}R Documentation

Autoregressive Sieve Bootstrap

Description

Applies autoregressive sieve bootstrap to stationary time series.

Usage

sieveboot(x, func, B, order = NULL, ...)

Arguments

x

A vector or time series.

func

The function applied to each bootstrap sample.

B

A positive integer; the number of bootstrap replications.

order

A positive integer; represents the order of the sieve autoregressive process. If not provided, it is automatically determined (see details below).

...

Optional additional arguments for the func function.

Details

The sieve bootstrap estimates an AR(p) model, with a large order equal to p, resamples the centered estimated residuals, and reconstructs an AR(p) bootstrap time series to compute a given statistic. The default order, if not specified, is set to 4*(n^{1/4})/\log(n)^{1/2}, where n is the sample size.

Value

Returns an object of class boodd.

References

Bertail, P. and Dudek, A. (2025). Bootstrap for Dependent Data, with an R package (by Bernard Desgraupes and Karolina Marek) - submitted.

Bühlmann, P. (1997). Sieve Bootstrap for time series. Bernoulli, 3, 123-148.

Choi, E., Hall, P. (2000). Bootstrap confidence regions computed from autoregressions of arbitrary order. Journal of the Royal Statistical Society, Series B, 62, 461-477.

See Also

aidedboot.

Examples

n <- 200
B <- 599
x <- arima.sim(list(order=c(0,0,4),ma=c(0.7,0.4,-0.3,-0.1)),n=n)
b1 <- sieveboot(x,mean,B,order=10)
plot(b1)

[Package boodd version 0.1 Index]