Stationary Bootstrap
- A time-series that you want to bootstrap
- The parameter m describing the average duration of the blocks in the sample
- The length of the output sample
- Vector of bootstrapped values of specified length
Cite As
Gregor Fabjan (2024). Stationary Bootstrap (https://github.com/qnity/stationary_bootstrap_matlab), GitHub. Retrieved .
Dimitris N. Politis & Joseph P. Romano (1994) The Stationary Bootstrap, Journal of the American Statistical Association, 89:428, 1303-1313, DOI: 10.1080/01621459.1994.10476870
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Versions that use the GitHub default branch cannot be downloaded
Version | Published | Release Notes | |
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1.0.6 | Project now has a website |
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1.0.5 | Linked to GitHub |
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1.0.4 | Link to new GitHub |
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1.0.3 | Redesign of the description. |
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1.0.2 | Added an example of bootstrapping Italian interest rate swaps |
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1.0.1 | Added a link to a Matlab code for calibrating the parameter "m". |
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1.0.0 |