meboot (Q22449)
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Maximum Entropy Bootstrap for Time Series
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | meboot |
Maximum Entropy Bootstrap for Time Series |
Statements
22 August 2023
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Maximum entropy density based dependent data bootstrap. An algorithm is provided to create a population of time series (ensemble) without assuming stationarity. The reference paper (Vinod, H.D., 2004 <doi:10.1016/j.jempfin.2003.06.002>) explains how the algorithm satisfies the ergodic theorem and the central limit theorem.
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expanded from: GPL (≥ 2) (English)
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