acf_Exp: Autocorrelation function of the exponential trawl function

In ambit: Simulation and Estimation of Ambit Processes

Autocorrelation function of the exponential trawl function

Description

This function computes the autocorrelation function associated with the exponential trawl function.

Usage

acf_Exp(x, lambda)

Arguments

x	The argument (lag) at which the autocorrelation function associated with the exponential trawl function will be evaluated
lambda	parameter in the exponential trawl

Details

The trawl function is parametrised by the parameter λ > 0 as follows:

g(x) = e^{λ x}, \mbox{ for } x ≤ 0.

Its autocorrelation function is given by:

r(x) = e^{-λ x}, \mbox{ for } x ≥ 0.

Value

The autocorrelation function of the exponential trawl function evaluated at x

Examples

acf_Exp(1,0.1)

ambit documentation built on Aug. 19, 2022, 5:19 p.m.