For correlated time series I can recommend the meboot.pdata.frame function from the meboot package. This method does not require any distributional assumptions. I have tried it on many different time series and panels and was impressed by its capabilities. See also the vignette and an article in the journal of statistical software (2009).
Zeno -----Original Message----- From: [email protected] on behalf of Noah Silverman Sent: Mon 1/10/2011 9:05 AM To: [email protected] Subject: [R-SIG-Finance] Boot samples from correlated time series. Hi, I'm looking at about 20 assets returns for the past 50 periods. They returns are correlated (some more than others.) I'm interested in trying some monte carlo techniques for determining an optimal portfolio. The "usual" method I seen uses a multivariate norm to sample possible data (rmvnorm function in R.) The returns are definitely not normally distributed. So, my goal is to duplicate the same functionality of using a rmvnorm, but for unknown distributions that are partially correlated. It was suggested to me that I might look at the boot function in R, however this appears to generate a summary statistic which isn't what I want. What I'd really like to do is simulate possible "alternate paths" for the assets based on their historical data. The paths are random, but follow the same distribution as the real assets and the same correlation. I can't seem to find a way to do this. Does anyone have any suggestions? Thanks, -- Noah _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. EBS European Business School gemeinnuetzige GmbH, Universitaet fuer Wirtschaft und Recht i.Gr. - Amtsgericht Wiesbaden HRB 19951 - Umsatzsteuer-ID DE 113891213 Geschaeftsfuehrung: Prof. Dr. Christopher Jahns, President; Prof. Dr. Rolf Tilmes, Dean Business School; Sabine Fuchs, CMO; Prof. Dr. Dr. Gerrick Frhr. v. Hoyningen-Huene, Dean Law School; Aufsichtsrat: Dr. Hellmut K. Albrecht, Vorsitzender [[alternative HTML version deleted]] _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
