Box-Cox and Loess-based decomposition bootstrap.

Generates bootstrapped versions of a time series using the Box-Cox and Loess-based decomposition bootstrap.

Usage

bld.mbb.bootstrap(x, num, block_size = NULL)

Arguments

x

Original time series.

num

Number of bootstrapped versions to generate.

block_size

Block size for the moving block bootstrap.

Value

A list with bootstrapped versions of the series. The first series in the list is the original series.

Details

The procedure is described in Bergmeir et al. Box-Cox decomposition is applied, together with STL or Loess (for non-seasonal time series), and the remainder is bootstrapped using a moving block bootstrap.

References

Bergmeir, C., R. J. Hyndman, and J. M. Benitez (2016). Bagging Exponential Smoothing Methods using STL Decomposition and Box-Cox Transformation. International Journal of Forecasting 32, 303-312.

See also

baggedETS.

Author

Christoph Bergmeir, Fotios Petropoulos

Examples

bootstrapped_series <- bld.mbb.bootstrap(WWWusage, 100)