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2008 May 06
0
Model Based Bootstrap
...o be differentiated of order one or above and the additional MA-part? Sample code for a series, which follows a pure AR-process: #Series y of 192 observations, which follows an AR(1)-process #Fit of an AR(1)-Model to y ar.coef <- ar(y)$ar ar.resid <- ar(y)$resid #Sampling for mean y_sample <- numeric(192) y_sample[1] <- y[1] mean_y <- numeric(10000) for (i in 1:10000) { for (j in 1:191) { idx <- sample(2:192,1,replace=TRUE) y_sample[j+1] <- y_sample[j]*ar.coef+ar.resid[idx] } mean_y[i] <- mean(y_sample) } What would the function...