meboot

Maximum Entropy Bootstrap for Time Series

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

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

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