man/examples/asymptotic_variance_est.R

In ambit: Simulation and Estimation of Ambit Processes

##Simulate a trawl process
##Determine the sampling grid
my_n <- 1000
my_delta <- 0.1
my_t <- my_n*my_delta

###Choose the model parameter
#Exponential trawl function:
my_lambda <- 2
#Poisson marginal distribution trawl
my_v <- 1

#Set the seed
set.seed(123)
#Simulate the trawl process
Poi_data <- sim_weighted_trawl(my_n, my_delta,
                               "Exp", my_lambda, "Poi", my_v)$path

#Estimate the trawl function
my_lag <- 100+1
trawl <- nonpar_trawlest(Poi_data, my_delta, lag=my_lag)$a_hat

#Estimate the fourth cumulant of the trawl process
c4_est <- c4est(Poi_data, my_delta)

asymptotic_variance_est(t=1, c4=c4_est, varlevyseed=1,
                        Delta=my_delta, avector=trawl)$v