[R] Information about bootstrap

[Adrian Trapletti]

> 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.

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