cpp_acf_trawl: Rcpp-accelerated Trawl ACF function approximation.

In valcourgeau/gammaextremes: Univariate Extreme Values with Trawl Processes

Description

Rcpp-accelerated Trawl ACF function approximation.

Usage

cpp_acf_trawl(
  h,
  alpha,
  beta,
  kappa,
  rho,
  delta = 0.5,
  type = "exp",
  end_seq = 50,
  cov = T
)

Arguments

h	ACF horizon.
alpha	Gamma alpha (or shape) parameter.
beta	Gamma beta (or rate) parameter.
kappa	Extreme frequency control parameter.
rho	Trawl parameter(s).
delta	Discrete time step.
type	Trawl type (e.g. "exp", "sum_exp", etc.).
end_seq	Horizon cut-off for integral approximation.
cov	Boolean, correlation or covariance (if FALSE). Defaults to correlation.

Value

Trawl autocorrelation values with Cpp-accelerated functions.

valcourgeau/gammaextremes documentation built on Sept. 9, 2021, 5:42 a.m.