Hi, I am a chilean student and I am doing my thesis and I?ll very thankfully
if you answer a question. In the thesis I need to applied Bootstrap
simulations to the residulas for the time series model
(AR(1),GARCH(1,1),GARCH-M(1,1)). The question is, the R software have a
function to do the Bootstrap simulation or I need to create a algorithm?
Regards
Felipe Mena.
_________________________________________________________________
http://messenger.yupimsn.com/
On Wed, 2003-04-16 at 14:55, felipe mena wrote:> Hi, I am a chilean student and I am doing my thesis and I?ll very thankfully > if you answer a question. In the thesis I need to applied Bootstrap > simulations to the residulas for the time series model > (AR(1),GARCH(1,1),GARCH-M(1,1)). The question is, the R software have a > function to do the Bootstrap simulation or I need to create a algorithm? > Regards > Felipe Mena. > > > > > > _________________________________________________________________ > > http://messenger.yupimsn.com/ > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > https://www.stat.math.ethz.ch/mailman/listinfo/r-helpHi Take a look at package "boot". EJ -- Ernesto Jardim <ernesto at ipimar.pt> Marine Biologist IPIMAR, Lisboa, Portugal PIII 733, 1GB Ram, SuSE Linux 8.1, R 1.6.2, LyX 1.3.1, Gnome 2.2.0
see package boot or alternatively the package bootstrap. Each of them based on a famous introduction into the bootstrap - Davison, A.C. and Hinkley, D.V. (1997) Bootstrap Methods and Their Application. Cambridge University Press. and Efron, B. and Tibshirani, R. (1993) An Introduction to the Bootstrap. Chapman & Hall, resp. yours s. On 16 Apr 2003 at 9:55, felipe mena wrote:> Hi, I am a chilean student and I am doing my thesis and I?ll very thankfully > if you answer a question. In the thesis I need to applied Bootstrap > simulations to the residulas for the time series model > (AR(1),GARCH(1,1),GARCH-M(1,1)). The question is, the R software have a > function to do the Bootstrap simulation or I need to create a algorithm? > Regards > Felipe Mena. > > > > > > _________________________________________________________________ > > http://messenger.yupimsn.com/ > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > https://www.stat.math.ethz.ch/mailman/listinfo/r-help >
> Subject: [R] Information about bootstrap > Date: Wed, 16 Apr 2003 09:55:07 -0400 > From: "felipe mena" <felipemenasalas at hotmail.com> > To: R-help at stat.math.ethz.ch > > Hi, I am a chilean student and I am doing my thesis and I?ll very thankfully > if you answer a question. In the thesis I need to applied Bootstrap > simulations to the residulas for the time series model > (AR(1),GARCH(1,1),These models are available in R.> GARCH-M(1,1)).This one not.> The question is, the R software have a > function to do the Bootstrap simulation or I need to create a algorithm?In the simplest case you get a bootstrap dataset with, e.g., md<-garch(x) sample(na.remove(residuals(md)),replace=TRUE) Otherwise you can use tsbootstrap() from tseries, or packages boot and bootstrap.> > Regards > Felipe Mena.best Adrian PS: If, for some reason, you want to use a blockwise bootstrap for time series, use the one in tsbootstrap. Blockwise bootstrap in packages boot and bootstrap is not correctly implemented. -- Dr. Adrian Trapletti Phone : +41 (0) 1 994 5631 Trapletti Statistical Computing Mobile: +41 (0)76 370 5631 Wildsbergstrasse 31 Fax : +41 (0) 1 994 5631 CH-8610 Uster Email : mailto:a.trapletti at bluewin.ch Switzerland WWW : http://trapletti.homelinux.com