Maximum Entropy Bootstrap for Time Series: The meboot R Package

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Authors Hrishikesh D. Vinod, Javier López-de-Lacalle
Journal/Conference Name Journal of Statistical Software
Paper Category
Paper Abstract The maximum entropy bootstrap is an algorithm that creates an ensemble for time series inference. Stationarity is not required and the ensemble satisfies the ergodic theorem and the central limit theorem. The meboot R package implements such algorithm. This document introduces the procedure and illustrates its scope by means of several guided applications.
Date of publication 2009
Code Programming Language R
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