c4est {ambit} | R Documentation |
Estimating the fourth cumulant of the trawl process
Description
This function estimates the fourth cumulant of the trawl process.
Usage
c4est(data, Delta)
Arguments
data |
The data set used to estimate the fourth cumulant |
Delta |
The width Delta of the observation grid |
Details
According to
Sauri and Veraart (2022), estimator based on
is given by
where
and
Value
The function returns the estimated fourth cumulant of the Levy seed:
.
Examples
##Simulate a trawl process
##Determine the sampling grid
my_n <- 1000
my_delta <- 0.1
my_t <- my_n*my_delta
###Choose the model parameter
#Exponential trawl function:
my_lambda <- 2
#Poisson marginal distribution trawl
my_v <- 1
#Set the seed
set.seed(123)
#Simulate the trawl process
Poi_data<-ambit::sim_weighted_trawl(my_n, my_delta, "Exp", my_lambda, "Poi", my_v)$path
#Estimate the fourth cumulant of the trawl process
c4est(Poi_data, my_delta)
[Package ambit version 0.1.2 Index]