Nonparametric moving-block bootstrap for the parameters of the EVBS
regression model. Intended for series with residual serial dependence, where
the standard errors obtained from the observed information under the
independence assumption are optimistic.
Usage
evbs_block_boot(X, y, L = 4, B = 500)
Arguments
- X
Design matrix (including the intercept column).
- y
Response vector.
- L
Block length.
- B
Number of bootstrap resamples.
Value
A list with the bootstrap standard errors and the matrix of
bootstrap estimates.
Examples
# \donttest{
data(itajai)
set.seed(2023) # the resampled blocks are random
evbs_block_boot(cbind(1, itajai$pressure), itajai$wind, L = 4, B = 100)$se
#> beta0 beta1 alpha gama
#> 3.571699160 0.003532819 0.012057006 0.083550062
# }
