trawl_deriv_mod {ambit} | R Documentation |
Estimating the derivative of the trawl function
Description
This function estimates the derivative of the trawl function using the modified version proposed in Sauri and Veraart (2022).
Usage
trawl_deriv_mod(data, Delta, lag = 100)
Arguments
data |
The data set used to compute the derivative of the trawl function |
Delta |
The width Delta of the observation grid |
lag |
The lag until which the trawl function should be estimated |
Details
According to
Sauri and Veraart (2022), the derivative of the trawl function can
be estimated based on observations
X_0, X_{\Delta_n}, \ldots, X_{(n-1)\Delta_n}
by
\widehat a(t)=\frac{1}{\sqrt{ n\Delta_{n}^2}}
\sum_{k=l+1}^{n-2}(X_{(k+1)\Delta_n}-X_{k\Delta_n})
(X_{(k-l+1)\Delta_n}-X_{(k-l)\Delta_n}),
for \Delta_nl\leq t < (l+1)\Delta_n
.
Value
The function returns the lag-dimensional vector
(\hat a'(0), \hat a'(\Delta), \ldots, \hat a'((lag-1) \Delta)).
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 <- sim_weighted_trawl(my_n, my_delta,
"Exp", my_lambda, "Poi", my_v)$path
#Estimate the trawl function
my_lag <- 100+1
trawl <- nonpar_trawlest(Poi_data, my_delta, lag=my_lag)$a_hat
#Estimate the derivative of the trawl function
trawl_deriv <- trawl_deriv_mod(Poi_data, my_delta, lag=100)
[Package ambit version 0.1.2 Index]