fit_DExptrawl: Fits the trawl function consisting of the weighted sum of two...

In trawl: Estimation and Simulation of Trawl Processes

Description

Fits the trawl function consisting of the weighted sum of two exponential functions

Usage

fit_DExptrawl(x, Delta = 1, GMMlag = 5, plotacf = FALSE, lags = 100)

Arguments

x	vector of equidistant time series data
Delta	interval length of the time grid used in the time series, the default is 1
GMMlag	lag length used in the GMM estimation, the default is 5
plotacf	binary variable specifying whether or not the empirical and fitted autocorrelation function should be plotted
lags	number of lags to be used in the plot of the autocorrelation function

Details

The trawl function is parametrised by the three parameters 0≤q w ≤q 1 and λ_1,λ_2 > 0 as follows:

g(x) = we^{λ_1 x}+(1-w)e^{λ_2 x}, \mbox{ for } x ≤ 0.

The Lebesgue measure of the corresponding trawl set is given by w/λ_1+(1-w)/λ_2.

Value

w: the weight parameter (restricted to be in [0,0.5] for identifiability reasons)

lambda1: the first memory parameter (denoted by λ_1 above)

lambda2: the second memory parameter (denoted by λ_2 above)

LM: The Lebesgue measure of the trawl set associated with the double exponential trawl

trawl documentation built on Feb. 23, 2021, 1:06 a.m.