fit_supIGtrawl {trawl} | R Documentation |
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 and
as follows:
It is assumed that and
are
not simultaneously equal to zero. The Lebesgue measure of the corresponding
trawl set is given by
.
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