FitAR: Boot.ts – R documentation

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Boot.ts

Parametric Time Series Bootstrap

An AR(p) model is fit to the time series using the AIC and then it is simulated.

## S3 method for class 'ts'
Boot(obj, R=1, ...)

`obj`	a time series, class "ts"
`R`	number of bootstrap replicates
`...`	optional arguments

A time series or vector.

Parametric and nonparametric time series bootstraps are discussed by Davison and Hinkley (1997, Ch.8.2).

A.I. McLeod and Y. Zhang

Davison, A.C. and Hinkley, D.V. (1997), Bootstrap Methods and Their Application. Cambridge University Press.

layout(matrix(c(1,2,1,2),ncol=2))
TimeSeriesPlot(SeriesA)
TimeSeriesPlot(Boot(SeriesA),main="Bootstrap of Series A")

Subset AR Model Fitting

v1.94

GPL (>= 2)

Authors

A.I. McLeod, Ying Zhang and Changjiang Xu

Initial release

2013-03-15