boot_res {boodd} | R Documentation |
TFT Residual Bootstrap.
Description
The residual bootstrap is used to bootstrap the Fourier coefficients for the Time Frequency Toggle (TFT)-Bootstrap (see Kirch and Politis (2011)).
Usage
boot_res(X, n = length(X), h, kernel, t)
Arguments
X |
A numeric vector representing a time series. |
n |
An integer; by default is the length of time series |
h |
A positive numeric value specifying the bandwidth used to compute the kernel estimator
in case of local bootstrap.
By default it is equal to |
kernel |
An integer value indicating the kernel type. Use |
t |
An integer indicating the number of bootstrap replications. |
Details
The function first centers X
and calculates its Fourier coefficients.
It then estimates
the spectral density using a kernel density estimator with parameters kernel kernel
and
bandwidth h
, which standardizes the residuals accordingly. These
standardized residuals are resampled with replacement to create bootstrap replicates.
Value
A matrix where each column contains a bootstrap replicate of the time series X
.
Author(s)
We are grateful to Claudia Kirch for providing the original code in R
.
References
Bertail, P. and Dudek, A. (2025). Bootstrap for Dependent Data, with an R package (by Bernard Desgraupes and Karolina Marek) - submitted.
Kirch, C. and Politis, D. N. (2011). TFT-Bootstrap: Resampling time series in the frequency domain to obtain replicates in the time domain, Annals of Statistics, vol.
See Also
tft_boot
, boot_local
,
boot_wild
.
Examples
# see the mother function tft_boot