Dear All
I am trying to bootstrap some heavily autocorrelated data. If I use the sample
function with replace = T I lose the key feature that the data is
autocorrelated. Any ideas how I can keep this autocorrelation and get a
bootstrap. My only thought is to resample blocks rather than points, but this
seems inelegant.
Cheers
Bevan
Dr Bevan Blair
Quantitative Analyst
Ingenious Asset Management
100 Pall Mall
London
SW1Y 5NQ
United Kingdom
Tel: +44 20 7024 3677
Mob: +44 7870 684 138
bevan.blair@ingeniousmedia.co.uk
"The ills we suffer, result from mistaken beliefs about what is truly good. We
have invested our hope in the wrong things, or at least invested it in the
wrong way"
Epictetus
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