get.gg {hdbinseg} | R Documentation |
Data-driven selection of the average block size
Description
Computes quantities required for data-driven selection of the average block size for stationary bootstrap
Usage
get.gg(z, M = NULL, C = 2, max.K = 5)
Arguments
z |
univariate time series |
M |
bandwidth, by default, |
C |
|
max.K |
|
Value
Estimates for the two quantities required for average block size selection.
References
D. N. Politis and H. White (2004) Automatic block-length selection for the dependent bootstrap. Econometric Reviews, vol. 23, pp. 53–70.
[Package hdbinseg version 1.0.2 Index]