I currently use the following process for bootstrapping a multivariate time series in R:
- Determine block sizes - run the function b.star in the np package which produces a block size for each series
- Select maximum block size
- Run tsboot on any series using the selected block size
- Use index from bootstrap output to reconstruct multivariate time series
Someone suggested using the meboot package as an alternative to the block bootstrap but since I am not using the entire data set to select a block size, I am unsure of how to preserve correlations between series if I were to use the index created by running meboot on one series. If anyone has experience with meboot in a multivariate setting, I would greatly appreciate advice on the process.