In the latest version of
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.
The following example will demonstrate the
mebootSpear rank-correlation results from the average of 1,000 bootstrap replicates of the
output <- mebootSpear(AirPassengers, setSpearman = 0, xmin = 0)$rowAvg
cor(output, AirPassengers, method = "spearman")
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.
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