embb.sample {boodd} | R Documentation |
EMBB Method
Description
The function constructs a bootstrap sample using the Extension of Moving Block Bootstrap (EMBB) method or its circular version (CEMBB). The EMBB and CEMBB are suitable for periodically correlated and almost periodically correlated time series.
Usage
embb.sample(x,length.block,method=c("movingblock","circular"))
Arguments
x |
An (almost) periodically correlated time series. |
length.block |
A positive integer; the number of bootstrap samples. |
method |
The bootstrap method:
* |
Details
The argument method
can be set to "movingblock"
(in the case
of the EMBB
) or to "circular" (in the case of CEMBB
).
Method names may be abbreviated.
Value
The embb.sample
returns an object of type embb
(not of type boodd
),
containing a matrix whose first column is the bootstrapped
sample and second column contains the original time indices of the
chosen observations.
References
Bertail, P. and Dudek, A. (2025). Bootstrap for Dependent Data, with an R package (by Bernard Desgraupes and Karolina Marek) - submitted.
A.E. Dudek (2015). Circular block bootstrap for coefficients of autocovariance function of almost periodically correlated time series, Metrika, 78, 313-335.
A.E. Dudek (2018). Block bootstrap for periodic characteristics of periodically correlated time series. Journal of Nonparametric Statistics, 30, 87-124.
See Also
embb
,
seasonalMean
,seasonalVar
, seasonalACF
,
meanCoeff
, acfCoeff
.
Examples
# Generate a periodically correlated time series
n=200
b <- arima.sim(n = n, model = list(ar = c(0.5, 0.4), na = 0.5))
period <- 12
x <- 5*cos(2 * pi /period * (1:n))+5*b * cos(2 * pi /period * (1:n))
X_ts = ts(x)
bootstrapped_X <- embb.sample(X_ts, length.block = 15, method = "movingblock")