[R-SIG-Finance] Resampling Methods for Dependent Data

[Jeff Ryan]

I would suspect this might be a place to start:

http://finzi.psych.upenn.edu/R/library/boot/html/tsboot.html

RSiteSearch('block bootstrap')

Jeff

On Tue, Jun 17, 2008 at 10:19 PM, Wei-han Liu <weihanliu2002 at yahoo.com> wrote:
> Hi there:
> I am reading a book by Lahiri (2003): Resampling Methods for Dependent Data.  I am trying to implement some of the techniques that book has introduced, e.g. model-based bootstrap, block bootstrap method, and bootstrapping heavy-tailed data and extremes.
> Could somebody share any information helpful in this regard?
>
> Thanks a lot.
> Wei-han Liu
>
>
>
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-- 
Jeffrey Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com