| fit_LMtrawl {trawl} | R Documentation |
Fits a long memory trawl function to equidistant univariate time series data
Description
Fits a long memory trawl function to equidistant univariate time series data
Usage
fit_LMtrawl(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 two parameters H> 1
and \alpha > 0 as follows:
g(x) = (1-x/\alpha)^{-H},\mbox{ for }
x \le 0.
The Lebesgue measure of the corresponding trawl set is given by
\alpha/(1-H).
Value
alpha: parameter in the long memory trawl
H: parameter in the long memory trawl
LM: The Lebesgue measure of the trawl set associated with the long memory trawl