If you're interested, the source is here:
https://github.com/colintbowers/DependentBootstrap.jl
I haven't tried to make it into a registered package yet as I'm still
tinkering with it a fair bit. But I think I'm nearly there. It is fairly
comprehensive for univariate bootstrapping, ie lots of methods and block
length selection procedures, but I haven't really thought about extending
it to multivariate data yet. Maybe later this year.
Cheers,
Colin
On 24 June 2015 at 23:42, John Myles White <johnmyleswh...@gmail.com> wrote:
> Excited you're working on dependent data bootstraps. I implemented one
> just the other day since it could be useful for analyzing benchmark data.
> Would be great to have other methods to do out.
>
> -- John
>
>
> On Wednesday, June 24, 2015 at 5:31:52 AM UTC-4, Milan Bouchet-Valat wrote:
>>
>> Le mercredi 24 juin 2015 à 01:18 -0700, colintbow...@gmail.com a écrit
>> :
>> > Hi all,
>> >
>> > I've got an issue I don't really like in one of my modules, and I was
>> > wondering the best thing (if anything) to do about it.
>> >
>> > The module if for dependent bootstraps, but the problem is more of a
>> > project design issue. I have a type for each bootstrap method, e.g.
>> > `StationaryBootstrap`, `MovingBlockBootstrap` e.t.c. and they are all
>> > sub-types of an abstract `BootstrapMethod`. Then I have functions
>> > that can be called over these different bootstrap method types and
>> > multiple dispatch will make sure the appropriate code is called, e.g
>> > `bootindices(::StationaryBootstrap)` or
>> > `bootindices(::MovingBlockBootstrap)`. This all works nicely.
>> >
>> > I now want to define some keyword wrapper type functions in the
>> > module for users who don't want to learn much about how the types
>> > within the module work. For example, my wrapper might let the user
>> > describe the bootstrap procedure they want with a string, eg
>> > `bootindices(...; bootstrapmethod::ASCIIString="stationary")`.
>> >
>> > The keyword wrapper is called, and I have a variable
>> > `bootstrapMethod` which is a string. I need to convert it into the
>> > appropriate bootstrap method type so I can then call the appropriate
>> > method via multiple dispatch. Currently I have one function that does
>> > this and looks something like this:
>> >
>> > function boot_string_to_type(x::ASCIIString)
>> > x == "stationary" && return(StationaryBootstrap())
>> > x == "movingBlock" && return(MovingBlock())
>> > ...
>> > end
>> >
>> > The problem is that this function is not type-stable.
>> >
>> > Should I be worried? Does anyone have a better way of dealing with
>> > this kind of issue? Maybe something involving symbols or expressions,
>> > or anonymous functions etc?
>> >
>> > Note, the situation can sometimes get quite a bit more complicated
>> > than this, with multiple key-word arguments, all of which need to be
>> > combined into the constructor for the relevant type.
>> I think the most Julian way to do this is to have users pass a type
>> instead of a string. They would write
>> bootindices{T<:BootstrapMethod}(...; method::Type{T}=StationaryBootstrap)
>>
>> That's simpler for the user as passing a string (since autocompletion w
>> ill work), you don't need to define boot_string_to_type(), and it's
>> type-stable. This is the idiom used by fit() in StatsBase.jl (and
>> GLM.jl) to choose which type of model should be estimated.
>>
>>
>> Hope this helps
>>
>>
>> PS: in the cases where you still want to pass a string as an argument,
>> rather than a type, consider using symbols instead, as it is more
>> efficient.
>>
>
