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I have a time series on returns which is approximately 20 year long. Based on this time series, I want to compute somekind of a moving bootstrap to calculate the mean returns for every observation.

Let me demonstrate this on an example:

Let´s say we have information starting at 01.01.1990 and I want to compute the means with bootstrap starting at 02101.1991.

At 01.01.1991 I want to comupte the mean based on the returns between 01.01.1991-01.01.1990.

Then, on 02.10.1991 I also want to take into account the return of 02.01.1991 and therefore want to calculate the mean with bootstrap based on the returns from 01.01.1990-02.01.1991.

To sum up, the data for my bootstrap should increase by 1 through the time series.

I hope that you can understand what I am trying to say. I would appreciate any help.

Cheers Sven

StupidWolf
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Sven Zeitvogel
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1 Answers1

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So I managed to answer the question by myself

Let say we want to get the means calculated with bootstrap starting at 01.01.1991 which is the 300th observation in our sample (Overall we have 1000 observations in our time series)

then the code is the following one:

h <- rep(1, 1000)
for (i in 300:1000) {
  h[i] <- mean( sample(rawdata$retoil[1:i] , 5000 , replace=TRUE))
}

the first 300 row of h are 1's and can be deleted in the end

Hope I could help some of you :)

Sven Zeitvogel
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