Hi:
Yes, I know 'tsboot' package and it is designed to generate resample using fixed or random block lengths. However, I am curious if it can be used to bootstrap heavy-tailed data and extremes.
Wei-han


----- Original Message ----
From: Brian G. Peterson <brian@braverock.com>
To: Wei-han Liu <weihanliu2002@yahoo.com>
Cc: r-sig-finance@stat.math.ethz.ch
Sent: Wednesday, June 18, 2008 6:05:03 PM
Subject: Re: [R-SIG-Finance] Resampling Methods for Dependent Data

Wei-han Liu wrote:
> 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?

There has been a ton of information posted on this list on bootstrapping
techniques.  I suggest searching the list archive. Jrff has already
suggested the 'tsboot' package, which has been previously discussed here
in some depth.

When you have more specific questions, successes, or failures in your
investigation of these techniques, please share them with the list so
others can benefit from your experience.  Bootstrap techniques are so
important in modern financial analytics that just about anything you
discover (good or bad) will likely be useful to someone else on this list.

Regards,

   - Brian


      
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