Book Image

Simulation for Data Science with R

By : Matthias Templ
Book Image

Simulation for Data Science with R

By: Matthias Templ

Overview of this book

Data Science with R aims to teach you how to begin performing data science tasks by taking advantage of Rs powerful ecosystem of packages. R being the most widely used programming language when used with data science can be a powerful combination to solve complexities involved with varied data sets in the real world. The book will provide a computational and methodological framework for statistical simulation to the users. Through this book, you will get in grips with the software environment R. After getting to know the background of popular methods in the area of computational statistics, you will see some applications in R to better understand the methods as well as gaining experience of working with real-world data and real-world problems. This book helps uncover the large-scale patterns in complex systems where interdependencies and variation are critical. An effective simulation is driven by data generating processes that accurately reflect real physical populations. You will learn how to plan and structure a simulation project to aid in the decision-making process as well as the presentation of results. By the end of this book, you reader will get in touch with the software environment R. After getting background on popular methods in the area, you will see applications in R to better understand the methods as well as to gain experience when working on real-world data and real-world problems.
Table of Contents (18 chapters)
Simulation for Data Science with R
Credits
About the Author
About the Reviewer
www.PacktPub.com
Preface
Index

Bootstrapping in time series


Two methods are often used in bootstrapping of time series:

  • To estimate a model and draw from the residuals (see second last section on bootstrapping regression models by bootstrapping residuals)

  • Moving blocks bootstrap methods

We concentrate in the following, on the moving blocks bootstrap. It is a method that is often applied and mentioned in literature, but with limited success. To show the limitations of this approach is one goal of this section.

The idea is to divide the data in blocks and to sample with replacement within blocks. This allows us to not completely ignore the relationship between the observations. Relationships between observations are typically present in time series. For example, the next value will depend on the previous value. Think also on the trend, seasonality, and periodicity.

In principle, the time series can be divided in non-overlapping or overlapping blocks.

We will show an overlapping moving blocks bootstrap for estimating the autocorrelation...