Introduction to mebootSpear() Function
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In the latest version of
meboot (v 1.4-8)
on CRAN, the function
mebootSpear
was introduced. Below is a gentle introduction to its capabilities and a link to a reference paper with further applications to improved Monte Carlo simulations.
The desired properties from the original maximum entropy bootstrap function
meboot
were retained, while incorporating the additional argument
setSpearman
. The original function created bootstrap replicates with unit rank-correlations to the original time-series,
setSpearman
relaxes this condition.
AirPassengers
The following example will demonstrate the
mebootSpear
rank-correlation results from the average of 1,000 bootstrap replicates of the
AirPassengers
dataset.
library(meboot)
output <- mebootSpear(AirPassengers, setSpearman = 0, xmin = 0)$rowAvg
cor(output, AirPassengers, method = "spearman")
[1] 0.01695065
Reference
The following paper is available with additional examples and R-code:Vinod, Hrishikesh D. and Viole, Fred, Arbitrary Spearman’s Rank Correlations in Maximum Entropy Bootstrap and Improved Monte Carlo Simulations (June 7, 2020). Available at SSRN: https://ssrn.com/abstract=3621614
Introduction to mebootSpear() Function was first posted on July 11, 2020 at 6:05 am.
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