Description Usage Arguments Details Value
View source: R/FitTrawlFunctions.R
Fits the trawl function consisting of the weighted sum of two exponential functions
1 | fit_DExptrawl(x, Delta = 1, GMMlag = 5, plotacf = FALSE, lags = 100)
|
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 |
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.
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
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