Hello. I have got two problems in bootstrapping from dependent data sets.
Given two time-series x and y. Both consisting of n observations with x consisting of dependent and y consisting of independent observations over time. Also assume, that the optimal block-length l is given. To obtain my bootstrap sample, I have to draw pairwise, but there is the problem of dependence of the x-observations and so if I draw the third observation of y, I cannot simply draw the third observation of x (to retain the serial correlation structure between x and y), because I devided x into blocks of length l and I have to draw blocks, then I draw from x. 1. How can I compute a bootstrap sample of the correlation coefficient between x and y with respect to the dependence in time-series of x? 2. How does it look like, if x and y both consist of dependent observations? I hope you can help me. I got really stuck with this problem. Sincerly Klein. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
