New package DependentBootstrap



Hi all,

A little under a year ago I wrote a package that implements various dependent bootstrap and block length selection methodologies in Julia, but didn’t register it. I’ve been using it for the past year, and based on that usage, over the last few days I’ve significantly simplified the package while upgrading it for v0.5. That is done now, and I just wanted to let you all know I’ve submitted a PR to the official METADATA so the package can be officially registered. I don’t know if anyone was previously using the unregistered version, but if so, be warned my upgrade includes a huge number of breaking changes. A final point - this is the first package I’ve registered for Julia. I followed the instructions in the v0.5 docs for registration, but if anyone spots something stupid I’ve done in the process please feel free to let me know here :slight_smile:

If anyone wants a look in the meantime, the source is on github here. The package implements the iid, stationary, moving block, circular block, and nonoverlapping block bootstrap procedures, and also implements the block length selection procedure from Politis and White (2004) including the correction in Patton, Politis, and White (2009), as well as the block length selection procedure from Paparoditis and Politis (2002).

I’ve also included code for the tapered block bootstrap, but it isn’t working to my satisfaction yet, and I don’t have time right now to track down why (so it just throws an error if you try to use it at the moment). If anyone is intimately familiar with method, please feel free to take a look!

Cheers all,