[R] Bootstrap for Time Series

rdporto1
Sun, 01 Apr 2007 20:21:10 -0000

On Sat, 31 Mar 2007 10:59:37 -0700 (PDT), Tarik wrote:

>   My dissertation on bootstrapping linear time series models,
>   I mainly use  R language, however, I must confess that I find it
>   difficult to bootstrap moving average models and ARMA models ,
>   therefore I would be very grateful if you advise me on this matter.

Tarik,

a fast search for bootstrap and "time series" at
http://finzi.psych.upenn.edu/search.html
show some interesting packges that already exists: waveslim and boot.

The first uses wavelet techniques to decompose the series and then
bootstrap it using the function dwpt.boot. The second resample time
series in blocks or based on models. This seems more appropriate to
your needs.

Take a look at these packages and others using the site above.

HTH,

Rogerio.