[R-SIG-Finance] Wild bootstrap

[Patrick Burns]

It is good if the original poster explains what
a term means that they are searching for.  That
has at least two benefits:

* it avoids misunderstandings if the same or a
similar term has a different meaning.

* it educates subscribers (like me) who don't
know the term.

If not the original poster, then it's nice if a
response contains it.  So here goes:

The wild bootstrap is bootstrapping residuals and
then randomly multiplying by 1 or -1.  Hence ensuring
the distribution is symmetric around zero.

I've done it -- I just didn't know it had a name.

The bootstrapping tutorial on www.burns-stat.com
would tell you how to do it yourself (minus the last
step of multiplying by -1 or 1).


On 29/03/2010 22:08, Brian G. Peterson wrote:
> On 03/29/2010 04:00 PM, Paulo Grahl wrote:
>> I am wondering whether it is possible to use 'boot' package (or any
>> other) in order to use the wild bootstrap method.
>> Any help, examples, would be appreciated.
>
> There are many implementations of the wild bootstap in R.
>
> Perhaps you should do a little searching, try a few things, and refine
> your question with a code example.
>
> Regards,
>
> - Brian
>

-- 
Patrick Burns
patrick at burns-stat.com
http://www.burns-stat.com