rate.block.sub {boodd} | R Documentation |
Block Subsampling for Time Series with Convergence Rate Estimation
Description
Performs block subsampling for a time series with an estimation of the convergence rate of a given statistic. The function constructs subsampling distributions of specified sizes, estimates the convergence rate and asymptotic bias, and provides optional diagnostic plots.
Usage
rate.block.sub(X, func, n_b = 99, q = 0.75, PLT = TRUE, ...)
Arguments
X |
A numeric vector or a time series. |
func |
The function to be estimated using block subsampling. |
n_b |
A positive integer; the number of subsampling distributions to be constructed,
with block sizes ranging from |
q |
A numeric value in the interval |
PLT |
A logical value; By default it is |
... |
Additional arguments for the |
Details
The function rate.block.sub
performs block subsampling, specifically
suited for time series data, estimates the convergence rate n^{-\alpha}
and the approximation
rate n^{-\beta}
between the true distribution and the asymptotic one.
Value
A list containing:
alpha |
The estimated rate of convergence. |
beta |
The estimated approximation rate. |
obj |
An object of class |
References
Bertail, P. and Dudek, A. (2025). Bootstrap for Dependent Data, with an R package (by Bernard Desgraupes and Karolina Marek) - submitted..
Bertail, P., Politis, D., Romano, J. (1999). On Subsampling Estimators with Unknown Rate of Convergence. Journal of the American Statistical Association, 94, 569-579.
See Also
rate.sub
, best.block.sub.size
,
best.sub.size.iid
, block.sub
, boots
.
Examples
set.seed(12345)
n = 500 # sample size
ts = arima.sim(n=n,model=list(ar=c(0.4)))*sqrt(1-0.4^2) # Generating an AR(1)
# process with variance 1
# Moon MBB without replacement with estimated rate
reb=rate.block.sub(ts,mean,PLT=TRUE)