Andreas,
To do pairwise bootstrap sampling, try
for (i in 1:1000) {
ind<-sample(1:10,10,replace=TRUE)
boot.com.ab[i]<-cor(a[ind],b[ind])
}
Regards,
-Cody
Cody Hamilton
Edwards Lifesciences
-----Original Message-----
From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Andreas Klein
Sent: Thursday, September 20, 2007 10:59 PM
To: r-help@r-project.org
Subject: [R] Estimate correlation with bootstrap
Hello.
I would like to estimate the correlation coefficient
from two samples with Bootstrapping using the
R-function sample().
The problem is, that I have to sample pairwise. For
example if I have got two time series and I draw from
the first series the value from 1912 I need the value
from 1912 from the second sample, too.
Example:
Imagine that a and b are two time series with returns
for example:
a <- c(1,2,3,4,5,6,7,8,9,10)
b <- c(1,1,56,3,6,6,6,7,2,10)
a.sample <- numeric(10)
b.sample <- numeric(10)
boot.cor.a.b <- numeric(1000)
for (i in 1:1000)
{
for (j in 1:10)
{
a.sample[j] <- sample(a,1,replace=TRUE)
b.sample[j] <- sample(b,1,replace=TRUE)
}
boot.cor.a.b[i] <- cor(a,b)
}
The problem here is, that the sampling is independent
from each other.
So how do I have to change the R-code to get the
pairwise sampling mentioned above?
I hope you can help me.
Sincerely
Klein.
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______________________________________________
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
