Subject: [R] Information about bootstrap Date: Wed, 16 Apr 2003 09:55:07 -0400 From: "felipe mena" <felipemenasalas at hotmail.com> To: R-help at stat.math.ethz.ch Hi, I am a chilean student and I am doing my thesis and I?ll very thankfully if you answer a question. In the thesis I need to applied Bootstrap simulations to the residulas for the time series model (AR(1),GARCH(1,1),
These models are available in R.
GARCH-M(1,1)).
This one not.
The question is, the R software have a function to do the Bootstrap simulation or I need to create a algorithm?
In the simplest case you get a bootstrap dataset with, e.g., md<-garch(x) sample(na.remove(residuals(md)),replace=TRUE) Otherwise you can use tsbootstrap() from tseries, or packages boot and bootstrap.
Regards
Felipe Mena.
best Adrian PS: If, for some reason, you want to use a blockwise bootstrap for time series, use the one in tsbootstrap. Blockwise bootstrap in packages boot and bootstrap is not correctly implemented. -- Dr. Adrian Trapletti Phone : +41 (0) 1 994 5631 Trapletti Statistical Computing Mobile: +41 (0)76 370 5631 Wildsbergstrasse 31 Fax : +41 (0) 1 994 5631 CH-8610 Uster Email : mailto:a.trapletti at bluewin.ch Switzerland WWW : http://trapletti.homelinux.com