Description Usage Arguments Details Value
View source: R/FitTrawlFunctions.R
Fits a supIG trawl function to equidistant univariate time series data
1 | fit_supIGtrawl(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 two parameters δ ≥q 0 and γ ≥q 0 as follows:
g(x) = (1-2xγ^{-2})^{-1/2}\exp(δ γ(1-(1-2xγ^{-2})^{1/2})), \mbox{ for } x ≤ 0.
It is assumed that δ and γ are not simultaneously equal to zero. The Lebesgue measure of the corresponding trawl set is given by γ/δ.
delta: parameter in the supIG trawl
gamma: parameter in the supIG trawl
LM: The Lebesgue measure of the trawl set associated with the supIG trawl
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