meboot.pdata.frame {meboot} | R Documentation |
This function applies the maximum entropy bootstraped in a panel of time series data.
meboot.pdata.frame (x, reps=999, trim=0.10, reachbnd=TRUE, expand.sd=TRUE, force.clt=TRUE, elaps=FALSE, colsubj, coldata, coltimes, ...)
x |
a pdata.frame object containing by columns: the individual index, an optional time index and a panel of time series data. |
reps |
number of replicates to generate for each subject in the panel. |
trim |
the trimming proportion. |
reachbnd |
logical. If TRUE potentially reached bounds (xmin = smallest value - trimmed mean and xmax=largest value + trimmed mean) are given when the random draw happens to be equal to 0 and 1, respectively.
|
expand.sd |
logical. If TRUE the standard deviation in the ensemble in expanded. See expand.sd . |
force.clt |
logical.If TRUE the ensemble is forced to satisfy the central limit theorem. See force.clt . |
elaps |
logical. If TRUE elapsed time during computations is displayed. |
colsubj |
the column in x that contains the individual index. |
coldata |
the column in x that contains the data of the variable to create the ensemble. |
coltimes |
an optional argument indicating the column that contains the times at which the observations for each individual are observed. |
... |
possible argument fiv to be passed to expand.sd . |
The observations in x
should be arranged by individuals. The observations for each individual must be sorted by time.
The argument colsubj
can be either a numeric or a character index indicating the individual or the time series to which each observation is related.
Only one variable can be replicated at a time, coldata
must be of length one.
If the times at which observations are observed is provided specifying the column with the times through the argument coltimes
, these times are used only to label the rows of the data.frame returned as output.
A data.frame object of dimension: number of rows of x
times number of replicates indicated in reps
. The replicates for the panel of data are arranged by columns. Each replicate in each column is sorted with the same order stablished in the input x
.
## Ensemble for a panel of series of stock prices data("ullwan") out <- meboot(ullwan, reps=99, colsubj=2, coldata=4)