Flexible Probabilities Driven Bootstrap

Resamples historical scenarios with flexible probabilities.

Usage

bootstrap_scenarios(x, p, n)

# S3 method for numeric
bootstrap_scenarios(x, p, n)

# S3 method for matrix
bootstrap_scenarios(x, p, n)

# S3 method for ts
bootstrap_scenarios(x, p, n)

# S3 method for xts
bootstrap_scenarios(x, p, n)

# S3 method for tbl
bootstrap_scenarios(x, p, n)

# S3 method for data.frame
bootstrap_scenarios(x, p, n)

Arguments

x

A time series defining the scenario-probability distribution.

p

An object of the ffp class.

n

An integer scalar with the number of scenarios to be generated.

Value

A tibble with the number of rows equal to n.

Details

The argument x is supposed to have the same size of p.

Examples

set.seed(123)
ret <- diff(log(EuStockMarkets))
ew  <- rep(1 / nrow(ret), nrow(ret))

bootstrap_scenarios(x = ret, p = as_ffp(ew), n = 10)
#> # A tibble: 10 × 4
#>         DAX        SMI      CAC      FTSE
#>       <dbl>      <dbl>    <dbl>     <dbl>
#>  1  0.00313 -0.00611    0.00344  0.00349 
#>  2  0.00180  0.00548   -0.00514 -0.000790
#>  3  0.00355 -0.00732   -0.0111   0.00138 
#>  4 -0.0111  -0.00350   -0.00344 -0.00667 
#>  5  0.00691  0.00824    0.00385 -0.00216 
#>  6  0.00452  0.00608    0.00938  0.0173  
#>  7  0.00351  0.0000394 -0.00527  0.000658
#>  8  0.00349  0.00387    0        0.00888 
#>  9  0.0100   0.00157   -0.00274  0.00101 
#> 10 -0.00686 -0.00927    0.00165  0.0112