Introduction to mebootSpear() Function

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.

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

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.