Bootstrap Standard Errors for ADCC Parameters — adcc_bootstrap

Compute bootstrap standard errors for ADCC correlation parameters (alpha, gamma, beta) using residual or parametric resampling.

Usage

adcc_bootstrap_se(
  z_matrix,
  weights,
  Qbar,
  mle_params,
  Nbar = NULL,
  n_boot = 200,
  method = c("residual", "parametric"),
  copula_dist = "mvn",
  verbose = TRUE,
  seed = NULL
)

Arguments

z_matrix: T x k matrix of copula residuals (PIT-transformed)
weights: T-vector of observation weights
Qbar: k x k unconditional correlation matrix
mle_params: MLE estimates c(alpha, gamma, beta) or with shape for MVT
Nbar: k x k average outer product of negative residuals (optional)
n_boot: Number of bootstrap replications (default 200)
method: Bootstrap method: "residual" or "parametric"
copula_dist: "mvn" or "mvt"
verbose: Print progress
seed: Random seed for reproducibility

Value

List with bootstrap results including SEs for alpha, gamma, beta