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movblockboot

Moving-block bootstrap

CALLING SEQUENCE

 [ovb,selb,k,re]=movblockboot(T,l,B)

PARAMETERS

Input

* T = sample size

* l = block length

* B = number of bootstrap replications

 

Output

* ovb = (l x T/l) matrix that decomposes the initial sample into l overlapping blocks

* selb = (T/l x B) matrix that randomly selects the overlapping blocks

* k = number of blocks

* re = size of the last block if T/l not an integer

DESCRIPTION

In a moving-block bootstrap, gives the matrix that decomposes the initial sample into overlapping block and the matrix that randomly selects them.

AUTHOR

Emmanuel Michaux 2012

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