test_asymnorm_est_dev {ambit} | R Documentation |
Computing the feasible statistic of the trawl function CLT
Description
This function computes the feasible test statistic appearing in the CLT for the trawl function estimation.
Usage
test_asymnorm_est_dev(
ahat,
n,
Delta,
k,
c4,
varlevyseed = 1,
trawlfct,
trawlfct_par,
avector
)
Arguments
ahat |
The estimated trawl function at time t: |
n |
The number of observations in the data set |
Delta |
The width Delta of the observation grid |
k |
The time point in |
c4 |
The fourth cumulant of the Levy seed of the trawl process |
varlevyseed |
The variance of the Levy seed of the trawl process, the default is 1 |
trawlfct |
The trawl function for which the asymptotic variance will be computed (Exp, supIG or LM) |
trawlfct_par |
The parameter vector of the trawl function (Exp: lambda, supIG: delta, gamma, LM: alpha, H) |
avector |
The vector |
Details
As derived in Sauri and Veraart (2022), the feasible statistic is given by
.
Value
The function returns the feasible statistic
if the estimated asymptotic variance is positive and 999 otherwise.