fit_supIGtrawl {trawl}

Fits a supIG trawl function to equidistant univariate time series data

Description

Fits a supIG trawl function to equidistant univariate time series data

Usage

fit_supIGtrawl(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 \delta \geq 0 and \gamma \geq 0 as follows:

g(x) = (1-2x\gamma^{-2})^{-1/2}\exp(\delta \gamma(1-(1-2x\gamma^{-2})^{1/2})), \mbox{ for } x \le 0.

It is assumed that \delta and \gamma are not simultaneously equal to zero. The Lebesgue measure of the corresponding trawl set is given by \gamma/\delta.

Value

delta: parameter in the supIG trawl

gamma: parameter in the supIG trawl

LM: The Lebesgue measure of the trawl set associated with the supIG trawl