VMBB {ADTSA}

The vectorized moving block bootstrap.

Description

The VMB function tests for (partial) autocorrelations using the Vectorized Moving Block (VMB) launcher.

Usage

VMBB(acf.est, pacf.est, ahat, ts, bs, a1, a2, boot, lgmx)

Arguments

acf.est

a vector of sample autocorrelation estimates up to lagmax.

pacf.est

a vector of sample partial autocorrelation estimates up to lagmax.

ahat

a vector of estimated acceleration constants for autocorrelations up to lagmax. An object returned by JN_VMBBA.

ts

a vector of time series data.

bs

block size for the VMBB bootstrap.

a1

the percentages for the lower limits of confidence intervals.

a2

the percentages for the upper limits of confidence intervals.

boot

number of bootstrap replications.

lgmx

maximum lag at which to calculate autocorrelations.

Value

A list with two components: acf and pacf.

For acf:

se: standard error estimates for autocorrelations.

CI: a list of estimated confidence intervals for autocorrelations. Contain two elements: per and BCa

For pacf:

se: standard error estimates for partial autocorrelations.

CI: a list of estimated confidence intervals for partial autocorrelations. Contain two elements: per and BCa

Author(s)

Hossein hassani, Masoud yarmohammadi, Mohammad reza yeganegi and Leila Marvian Mashhad.

Examples

ts <- rnorm(100)
acf_est <- acf(ts, plot = FALSE)$acf[-21]
pacf_est <- pacf(ts, plot = FALSE)$acf[-21]

ahat <- list(acf=c() ,pacf=c())
ahat$acf <- acf(ts, lag.max = 19, plot = FALSE)$acf[,,1]
ahat$pacf <- pacf(ts, lag.max = 19, plot = FALSE)$acf[,,1]

bs <- 10
a1 <- 0.025
a2 <- 0.975
boot <- 100
lgmx <- 20

VMBB(acf_est, pacf_est, ahat, ts, bs, a1, a2, boot, lgmx)