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zerocentredreturns2
2009 Aug 10
0
Speeding up a bootstrap routine
...detrendedreturns*posvector2;
actualreturns3 <- detrendedreturns*posvector3;
average_daily_return1 <- mean(actualreturns1);
average_daily_return2 <- mean(actualreturns2);
average_daily_return3 <- mean(actualreturns3);
# create zero centred sampling distributions for the null hypothesis
zerocentredreturns1 <- actualreturns1-average_daily_return1;
zerocentredreturns2 <- actualreturns1-average_daily_return2;
zerocentredreturns3 <- actualreturns1-average_daily_return3;
n <- length(detrendedreturns);
result1 <- 0.0; # initialise result
result2 <- 0.0; # initialise result
result3 <-...