arch.bootstrap.MovingBlockBootstrap

class arch.bootstrap.MovingBlockBootstrap(block_size, *args, **kwargs)[source]

Bootstrap using blocks of the same length without wrap around

Parameters
  • block_size (int) – Size of block to use

  • args (Union[ndarray, DataFrame, Series]) – Positional arguments to bootstrap

  • kwargs (Union[RandomState, ndarray, DataFrame, Series]) – Keyword arguments to bootstrap

data

Two-element tuple with the pos_data in the first position and kw_data in the second (pos_data, kw_data)

Type

tuple

pos_data

Tuple containing the positional arguments (in the order entered)

Type

tuple

kw_data

Dictionary containing the keyword arguments

Type

dict

Notes

Supports numpy arrays and pandas Series and DataFrames. Data returned has the same type as the input date.

Data entered using keyword arguments is directly accessibly as an attribute.

To ensure a reproducible bootstrap, you must set the random_state attribute after the bootstrap has been created. See the example below. Note that random_state is a reserved keyword and any variable passed using this keyword must be an instance of RandomState.

See also

arch.bootstrap.optimal_block_length

Optimal block length estimation

arch.bootstrap.StationaryBootstrap

Politis and Romano’s bootstrap with exp. distributed block lengths

arch.bootstrap.CircularBlockBootstrap

Circular (wrap-around) bootstrap

Examples

Data can be accessed in a number of ways. Positional data is retained in the same order as it was entered when the bootstrap was initialized. Keyword data is available both as an attribute or using a dictionary syntax on kw_data.

>>> from arch.bootstrap import MovingBlockBootstrap
>>> from numpy.random import standard_normal
>>> y = standard_normal((500, 1))
>>> x = standard_normal((500,2))
>>> z = standard_normal(500)
>>> bs = MovingBlockBootstrap(7, x, y=y, z=z)
>>> for data in bs.bootstrap(100):
...     bs_x = data[0][0]
...     bs_y = data[1]['y']
...     bs_z = bs.z

Set the random_state if reproducibility is required

>>> from numpy.random import RandomState
>>> rs = RandomState(1234)
>>> bs = MovingBlockBootstrap(7, x, y=y, z=z, random_state=rs)

Methods

apply(func[, reps, extra_kwargs])

Applies a function to bootstrap replicated data

bootstrap(reps)

Iterator for use when bootstrapping

clone(*args, **kwargs)

Clones the bootstrap using different data.

conf_int(func[, reps, method, size, tail, …])

type func

Callable[…, Union[ndarray, DataFrame, Series]]

cov(func[, reps, recenter, extra_kwargs])

Compute parameter covariance using bootstrap

get_state()

Gets the state of the bootstrap’s random number generator

reset([use_seed])

Resets the bootstrap to either its initial state or the last seed.

seed(value)

Seeds the bootstrap’s random number generator

set_state(state)

Sets the state of the bootstrap’s random number generator

update_indices()

Update indices for the next iteration of the bootstrap.

var(func[, reps, recenter, extra_kwargs])

Compute parameter variance using bootstrap

Properties

index

The current index of the bootstrap

random_state

Set or get the instance random state