svine_bootstrap_models {svines}

Bootstrap S-vine models

Description

Computes bootstrap replicates of a given model using the one-step block multiplier bootstrap of Nagler et. al (2022).

Usage

svine_bootstrap_models(n_models, model)

Arguments

n_models

number of bootstrap replicates.

model

the initial fitted model

Value

A list of length n_models, with each entry representing one bootstrapped model as object of class svine.

Examples

data(returns)
dat <- returns[1:100, 1:2]

# fit parametric S-vine model with Markov order 1
model <- svine(dat, p = 1, family_set = "parametric")

# compute 10 bootstrap replicates of the model
boot_models <- svine_bootstrap_models(10, model)

# compute bootstrap replicates of 90%-quantile of X_1 + X_2.
mu_boot <- sapply(
  boot_models,
  function(m) {
    xx <- rowSums(t(svine_sim(1, 10^2, m, past = dat)[1, ,]))
    quantile(xx, 0.9)
  }
)