Operations Research topics: SAS/OR,
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moving bootstrapping

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Contributor
Posts: 43

moving bootstrapping

Well, I have seasonal data and I want to mimic weekly data through moving bootstrapping. But I can't find the most suitable sample and I just piece them together. Is the concept that the mean and var come from AR right? And how to use it in the bootstrapping?

And I want to get the distribution of them.

proc import datafile='C:\Users\user\Desktop\\morgan.csv'
out= morgan dbms=dlm; delimiter=',';
format Date yymm.;
getnames=yes;
run;

   data morgan;
   set a;
   PXlag = lag1(PX );
run;

proc autoreg data=b;
   model PX = PXlag / lagdep=PXlag;
  output out=resid mean standards;
  r=resid;
run;

proc surveyselect data=b out=outboot 
seed=30459584 
method=urs 
samprate=1 
outhits 
rep=1000; 
run;
proc univariate data=outboot;
var x;
by Replicate; 
output out=outall kurtosis=curt;
run;
proc univariate data=outall;
var curt;
output out=final pctlpts=2.5, 97.5 pctlpre=ci;
run;

 

Super User
Posts: 10,214

Re: moving bootstrapping

Posted in reply to karen8169

If this question was about data simulation, post it at IML forum.

If it was about Time Series Analysis,post it at Forecast forum.

SAS Super FREQ
Posts: 3,839

Re: moving bootstrapping

H i @Ksharp

Please do not suggest that people post questions to the SAS/IML forum unless the question is related to IML. If you want to get my attention, just use my @Rick_SAS  name in your response. I will get notified that someone mentioned me in a discussion and I will look at it if I have time. Thanks!

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