[R] Bootstrap using ARIMA model
bgunter.4567 at gmail.com
Thu Dec 1 19:50:14 CET 2016
Just briefly to follow up David's comment, though this is mainly about
statistics and therefore off topic here...
Bootstrapping time series is a subtle issue that requires familiarity
with the technical details-- and maybe even current research. The
tsboot() function gives you several options from which you must choose
*appropriately* -- or maybe choose something else entirely. The Help
doc gives you a sense of the difficulties:
Model based resampling is very similar to the parametric bootstrap and
all simulation must be in one of the user specified functions. This
avoids the complicated problem of choosing the block length but relies
on an accurate model choice being made.
Phase scrambling is described in Section 8.2.4 of Davison and Hinkley
(1997). The types of statistic for which this method produces
reasonable results is very limited and the other methods seem to do
better in most situations. Other types of resampling in the frequency
domain can be accomplished using the function boot with the argument
sim = "parametric".
Moral: If you don't know what you're doing, seek local expertise to
help -- remote sites offering suggestions from those who aren't
familiar with the details of your data and analysis goals (maybe you
don't need to do this at all!) may lead you to irreproducible
"The trouble with having an open mind is that people keep coming along
and sticking things into it."
-- Opus (aka Berkeley Breathed in his "Bloom County" comic strip )
On Thu, Dec 1, 2016 at 7:45 AM, Ashwini Patil <ash369ster at gmail.com> wrote:
> I want to implement a bootstrap method for time series.
> I am taking the adj close values from yahoo for NFLX and now I need to
> bootstrap these values using ARIMA model.
> here is my code so far:
> rm(list = ls())
> data=get.hist.quote(instrument = security, startDate, endDate, quote =
> qte_list, provider = "yahoo" )
> fit11<-auto.arima(logret, max.order=10)
> When i use auto.arima, I get an order of (0,0,0) with non-zero mean. After
> this, I tried to use tsboot function but it is not yielding any answers.
> Any and all help is appreciated.
> Thank you!
> [[alternative HTML version deleted]]
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