Simulation and Estimation of Ambit Processes

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Documentation for package ‘ambit’ version 0.1.2

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

acf_Exp	Autocorrelation function of the exponential trawl function
acf_LM	Autocorrelation function of the long memory trawl function
acf_supIG	Autocorrelation function of the supIG trawl function
AddSlices_Rcpp	Add slices and return vector of the sums of slices
AddWeightedSlices_Rcpp	Add slices and return vector of the weighted sums of slices
asymptotic_variance	Computing the true asymptotic variance in the CLT of the trawl estimation
asymptotic_variance_est	Estimating the asymptotic variance in the trawl function CLT
c4est	Estimating the fourth cumulant of the trawl process
LebA_est	Nonparametric estimation of the trawl set Leb(A)
LebA_slice_est	Nonparametric estimation of the trawl (sub-) sets Leb(A), Leb(A intersection A_h), Leb(A setdifference A_h)
LebA_slice_ratio_est_acfbased	Nonparametric estimation of the ratios Leb(A intersection A_h)/Leb(A), Leb(A setdifference A_h)/Leb(A)
my_mae	my_mse
my_mse	my_mse
my_results	my_results
nonpar_trawlest	Nonparametric estimation of the trawl function
rq	Computing the scaled realised quarticity
sim_weighted_trawl	Simulation of a weighted trawl process
sim_weighted_trawl_gen	Simulation of a weighted trawl process with generic trawl function
test_asymnorm	Computing the infeasible test statistic from the trawl function estimation CLT
test_asymnorm_est	Computing the feasible statistic of the trawl function CLT
test_asymnorm_est_dev	Computing the feasible statistic of the trawl function CLT
trawl_deriv	Estimating the derivative of the trawl function using the empirical derivative
trawl_deriv_mod	Estimating the derivative of the trawl function
trawl_Exp	Evaluates the exponential trawl function
trawl_LM	Evaluates the long memory trawl function
trawl_supIG	Evaluates the supIG trawl function