make_hac: Autocorrelation-proof estimates using HAC estimator.

In valcourgeau/gammaextremes: Univariate Extreme Values with Trawl Processes

Description

Autocorrelation-proof estimates using HAC estimator.

Usage

make_hac(acf_matrices, near_pd = F)

Arguments

acf_matrices	Matrices to use in the estimators.
near_pd	Boolean, nearest positive definite matrix from HAC estimate.

Value

HAC-transformed matrix

Examples

d <- 5
mats <- array(0, c(d, d, d))
mats[1,,] <- diag(d)
make_hac(mats)

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