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2009 Aug 10
0
Speeding up a bootstrap routine
...create matrices to hold sampling returns
matrix_1 <- matrix(0,1,n)
matrix_2 <- matrix(0,1,n)
matrix_3 <- matrix(0,1,n)
datevector <- 1:n # create vector for the actual "date sampling"
# the bootstrap routine, placing results into the above results matrices
for(i in 1:5000) {
date_sample <- datevector[sample(n,n,replace=TRUE)]
for(j in 1:n) {
matrix_1[j] <- zerocentredreturns1[date_sample[j]]
matrix_2[j] <- zerocentredreturns2[date_sample[j]]
matrix_3[j] <- zerocentredreturns3[date_sample[j]]
x <- mean(matrix_1)
y <- mean(matrix_2)
z <- mean(mat...