Maximum Entropy Bootstrap for Time Series: The meboot R Package. The maximum entropy bootstrap is an algorithm that creates an ensemble for time series inference. Stationarity is not required and the ensemble satisfies the ergodic theorem and the central limit theorem. The meboot R package implements such algorithm. This document introduces the procedure and illustrates its scope by means of several guided applications.

This software is also peer reviewed by journal JSS.

References in zbMATH (referenced in 12 articles , 1 standard article )

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  1. Kosiorowski, Daniel; Rydlewski, Jerzy P.; Snarska, Małgorzata: Detecting a structural change in functional time series using local Wilcoxon statistic (2019)
  2. Shang, Han Lin; Yang, Yang; Kearney, Fearghal: Intraday forecasts of a volatility index: functional time series methods with dynamic updating (2019)
  3. Soltani, A. R.; Nematollahi, A. R.; Mahmoudi, M. R.: On the asymptotic distribution of the periodograms for the discrete time harmonizable simple processes (2019)
  4. Vinod, Hrishikesh D. (ed.); Rao, C. R. (ed.): Conceptual econometrics using R (2019)
  5. Shang, Han Lin: Bootstrap methods for stationary functional time series (2018)
  6. Mahmoudi, Mohammad Reza; Maleki, Mohsen: A new method to detect periodically correlated structure (2017)
  7. Vinod, H. D.: New bootstrap inference for spurious regression problems (2016)
  8. Recchioni, Maria Cristina; Tedeschi, Gabriele; Gallegati, Mauro: A calibration procedure for analyzing stock price dynamics in an agent-based framework (2015)
  9. Diniz, Carlos Alberto Ribeiro; Rodrigues, Camila Pedrozo; Leite, Jose Galvão; Pires, Rubiane Maria: A Bayesian estimation of lag lengths in distributed lag models (2014)
  10. Schmidbauer, Harald; Rösch, Angi; Sezer, Tolga; Tunalioğlu, Vehbi Sinan: Robust trading rule selection and forecasting accuracy (2014)
  11. Capelli, Paolo; Mariani, Francesca; Recchioni, Maria Cristina; Spinelli, Fabio; Zirilli, Francesco: Determining a stable relationship between hedge fund index HFRI-equity and S&P 500 behaviour, using filtering and maximum likelihood (2010)
  12. Hrishikesh Vinod; Javier Lopez-de-Lacalle: Maximum Entropy Bootstrap for Time Series: The meboot R Package (2009) not zbMATH