crossq.partial.sb {quantilogram}

Stationary Bootstrap for the Partial Cross-Quantilogram

Description

Returns critical values for the partial cross-quantilogram, based on the stationary bootstrap.

Usage

crossq.partial.sb(DATA, vecA, k, gamma, Bsize, sigLev)

Arguments

DATA

The original data matrix

vecA

A pair of two probability values at which sample quantiles are estimated

k

A lag order

gamma

A parameter for the stationary bootstrap

Bsize

The number of repetition of bootstrap

sigLev

The statistical significance level

Details

This function generates critical values for for the partial cross-quantilogram, using the stationary bootstrap in Politis and Romano (1994).

Value

The boostrap critical values

Author(s)

Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang

References

Politis, Dimitris N., and Joseph P. Romano. "The stationary bootstrap." Journal of the American Statistical Association 89.428 (1994): 1303-1313.