trawl_LM: Evaluates the long memory trawl function

In ambit: Simulation and Estimation of Ambit Processes

Evaluates the long memory trawl function

Description

Evaluates the long memory trawl function

Usage

trawl_LM(x, alpha, H)

Arguments

x	the argument at which the supOU/long memory trawl function will be evaluated
alpha	the parameter α in the long memory trawl
H	the parameter H in the long memory trawl

Details

The trawl function is parametrised by the two parameters H> 1 and α > 0 as follows:

g(x) = (1-x/α)^{-H}, \mbox{ for } x ≤ 0.

If H \in (1,2], then the resulting trawl process has long memory, for H>2, it has short memory.

Value

the long memory trawl function evaluated at x

Examples

trawl_LM(-1,0.5, 1.5)

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