Arbitrary Spearman’s Rank Correlations in Maximum Entropy Bootstrap and Improved Monte Carlo Simulations

16 Pages Posted: 30 Jun 2020

See all articles by Hrishikesh D. Vinod

Hrishikesh D. Vinod

Fordham University - Department of Economics

Fred Viole

OVVO Financial Systems; Fordham University

Date Written: June 7, 2020

Abstract

The R package for maximum entropy bootstrap (meboot) is widely used for numerous applications involving statistical inference for time series data without having to do differencing or de-trending. We report some simulations confirming its effectiveness. It has been used for simulating time series, especially the function "flexMeboot," in the package, which uses non-overlapping blocks while avoiding allowing for random trend reversals. This paper describes a newer extension called "mebootSpear," which permits the user to specify arbitrary Spearman's rank correlation coefficient rho between original data xt and resampled series. We use simulations to study the properties of the new option and extensions to the traditional Monte Carlo simulations.

Keywords: Dependent Data, Statistical Inference, Unit Root, Monte Carlo Simulations, Value at Risk

JEL Classification: C15, C32, C58, C63

Suggested Citation

Vinod, Hrishikesh D. and Viole, Fred, Arbitrary Spearman’s Rank Correlations in Maximum Entropy Bootstrap and Improved Monte Carlo Simulations (June 7, 2020). Available at SSRN: https://ssrn.com/abstract=3621614 or http://dx.doi.org/10.2139/ssrn.3621614

Hrishikesh D. Vinod (Contact Author)

Fordham University - Department of Economics ( email )

Dealy Hall
Bronx, NY 10458
United States
718-817-4065 (Phone)
718-817-3518 (Fax)

Fred Viole

OVVO Financial Systems ( email )

NJ
United States

Fordham University ( email )

Bronx, NY 10458
United States

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