Bootstrap S-vine models — svine_bootstrap

Computes bootstrap replicates of a given model using the one-step block multiplier bootstrap of Nagler et al. (2022).

Usage

svine_bootstrap_models(n_models, model)

Arguments

n_models: number of bootstrap replicates.
model: the initial fitted model

Value

A list of length n_models, with each entry representing one bootstrapped model as object of class svine.

References

Nagler, T., Krüger, D., and Min, A. (2022). Stationary vine copula models for multivariate time series. Journal of Econometrics, 227(2), 305–324. doi:10.1016/j.jeconom.2021.11.015 .

Examples

data(returns)
dat <- returns[1:100, 1:2]

# fit parametric S-vine model with Markov order 1
model <- svine(dat, p = 1, family_set = "parametric")

# compute 10 bootstrap replicates of the model
boot_models <- svine_bootstrap_models(10, model)

# compute bootstrap replicates of 90%-quantile of X_1 + X_2.
mu_boot <- sapply(
  boot_models,
  function(m) {
    xx <- rowSums(t(svine_sim(1, 10^2, m, past = dat)[1, ,]))
    quantile(xx, 0.9)
  }
)