fit_LMtrawl: Fits a long memory trawl function to equidistant univariate...

In trawl: Estimation and Simulation of Trawl Processes

Description

Fits a long memory trawl function to equidistant univariate time series data

Usage

fit_LMtrawl(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 two parameters H> 1 and α > 0 as follows:

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

The Lebesgue measure of the corresponding trawl set is given by α/(1-H).

Value

alpha: parameter in the long memory trawl

H: parameter in the long memory trawl

LM: The Lebesgue measure of the trawl set associated with the long memory trawl

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