meboot

MaRDI QIDQ22449swMATHCRANFDO

Authors Hrishikesh D. Vinod

Last update 22 August 2023

Copyright license GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier 1.4-9.3, 0.0.1, 1.0-0, 1.0-1, 1.0-2, 1.1-1, 1.1-2, 1.1-3, 1.1-4, 1.1-5, 1.3-0, 1.4-3, 1.4-5, 1.4-6, 1.4-7, 1.4-8, 1.4-9.1, 1.4-9.2, 1.4-9, 1.4-9.4

Official website http://www.jstatsoft.org/v29/i05

Description

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.

Cites work

• Ranking mutual funds using unconventional utility theory and stochastic dominance

Cited in

(16)

• Conceptual econometrics using R
• Robust trading rule selection and forecasting accuracy
• Intraday forecasts of a volatility index: functional time series methods with dynamic updating
• Bootstrap methods for stationary functional time series
• A new method to detect periodically correlated structure
• Determining a stable relationship between hedge fund index HFRI-equity and S\&P 500 behaviour, using filtering and maximum likelihood
• hdrcde
• partsm
• generalCorr
• MaxMC
• A Bayesian estimation of lag lengths in distributed lag models
• NNS
• New bootstrap inference for spurious regression problems
• On the asymptotic distribution of the periodograms for the discrete time harmonizable simple processes
• A calibration procedure for analyzing stock price dynamics in an agent-based framework
• Detecting a structural change in functional time series using local Wilcoxon statistic

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