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 |
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
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)