Description
M-Out-of-n Bootstrap Functions.
Description
Functions and examples based on the m-out-of-n bootstrap suggested by Politis, D.N. and Romano, J.P. (1994) <doi:10.1214/aos/1176325770>. Additionally there are functions to estimate the scaling factor tau and the subsampling size m. For a detailed description and a full list of references, see Dalitz, C. and Lögler, F. (2024) <doi:10.48550/arXiv.2412.05032>.
README.md
moonboot
This is an R package for m-out-of-n bootstrap that provides functions for
- computation of confidence intervals
- estimation of the scaling factor tau
- different methods for estimating m
Usage
A typical usage is
# application of estimator to the subset indices
boot.stat <- function(indices, dat) {
my.stat(dat[indices])
}
# apply m-out-of-n bootstrap
boot.out <- mboot(x, boot.stat, m=2*sqrt(length(x)))
# compute 95% confidence interval
ci <- mboot.ci(boot.out, type="basic")
print(ci)
Beware that the last command estimates the scaling factor, which can be quite unreliable. It is thus better to provide the scaling factor if it is known, e.g., for a root-n consistent estimator:
ci <- mboot.ci(boot.out, tau=function(n) { n^0.5 }, type="basic")
Installation
If you have cloned the repository to the directory moonboot, you can install it with
R CMD INSTALL moonboot
If you have downloaded a file release moonboot-X.Y.Z.tar.gz, you can install it with
R CMD INSTALL moonboot-X.Y.Z.tar.gz
Authors & Copyright
- Christoph Dalitz, 2024 https://lionel.kr.hsnr.de/~dalitz/
- Felix Lögler, 2024
For licensing information, see the file LICENSE for details.