Displaying 1 result from an estimated 1 matches for "nifty_weekly_returns".
2007 May 27
0
Not able to understand the behaviour of boot
...% confidence interval which is roughly
symmetric about zero. Yes?
The program:
---------------------------------------------------------------------------
library(boot)
AR1.boot <- function(x, d) { arima(x[d], order=c(1,0,0))$coef[1] }
load(url("http://www.mayin.org/ajayshah/A/nifty_weekly_returns.rda"))
arima(r, order=c(1,0,0))
b <- boot(r, AR1.boot, R=5000)
boot.ci(b, type="basic")
---------------------------------------------------------------------------
gives me:
---------------------------------------------------------------------------
> arima(r, ord...