fit_DExptrawl {trawl} | R Documentation |
Fits the trawl function consisting of the weighted sum of two exponential functions
Description
Fits the trawl function consisting of the weighted sum of two exponential functions
Usage
fit_DExptrawl(x, Delta = 1, GMMlag = 5, plotacf = FALSE, lags = 100)
Arguments
x |
vector of equidistant time series data |
Delta |
interval length of the time grid used in the time series, the default is 1 |
GMMlag |
lag length used in the GMM estimation, the default is 5 |
plotacf |
binary variable specifying whether or not the empirical and fitted autocorrelation function should be plotted |
lags |
number of lags to be used in the plot of the autocorrelation function |
Details
The trawl function is parametrised by the three parameters 0\leq
w \leq 1
and \lambda_1,\lambda_2 > 0
as follows:
g(x) =
we^{\lambda_1 x}+(1-w)e^{\lambda_2 x}, \mbox{ for } x \le 0.
The Lebesgue measure
of the corresponding trawl set is given by
w/\lambda_1+(1-w)/\lambda_2
.
Value
w: the weight parameter (restricted to be in [0,0.5] for identifiability reasons)
lambda1: the first memory parameter (denoted by \lambda_1
above)
lambda2: the second memory parameter (denoted by \lambda_2
above)
LM: The Lebesgue measure of the trawl set associated with the double exponential trawl