Introduction to mebootSpear() Function
[This article was first published on R-posts.com, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.
In the latest version of Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.
meboot (v 1.4-8)
on CRAN, the function mebootSpear
was introduced. Below is a gentle introduction to its capabilities and a link to a reference paper with further applications to improved Monte Carlo simulations.The desired properties from the original maximum entropy bootstrap function
meboot
were retained, while incorporating the additional argument setSpearman
. The original function created bootstrap replicates with unit rank-correlations to the original time-series, setSpearman
relaxes this condition.AirPassengers
The following example will demonstrate the
mebootSpear
rank-correlation results from the average of 1,000 bootstrap replicates of the AirPassengers
dataset.library(meboot)
output <- mebootSpear(AirPassengers, setSpearman = 0, xmin = 0)$rowAvg
cor(output, AirPassengers, method = "spearman")
[1] 0.01695065
Reference
The following paper is available with additional examples and R-code:
Vinod, Hrishikesh D. and Viole, Fred, Arbitrary Spearman’s Rank Correlations in Maximum Entropy Bootstrap and Improved Monte Carlo Simulations (June 7, 2020). Available at SSRN: https://ssrn.com/abstract=3621614
Introduction to mebootSpear() Function was first posted on July 11, 2020 at 6:05 am.
©2020 "R-posts.com". Use of this feed is for personal non-commercial use only. If you are not reading this article in your feed reader, then the site is guilty of copyright infringement. Please contact me at tal.galili@gmail.com
To leave a comment for the author, please follow the link and comment on their blog: R-posts.com.
R-bloggers.com offers daily e-mail updates about R news and tutorials about learning R and many other topics. Click here if you're looking to post or find an R/data-science job.
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.