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ambit

Simulation and estimation tools for various types of ambit processes, including trawl processes and weighted trawl processes.

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Version

Install

install.packages('ambit')

Monthly Downloads

364

Version

0.1.2

License

GPL-3

Maintainer

Almut D. Veraart

Last Published

August 19th, 2022

Functions in ambit (0.1.2)

Estimating the fourth cumulant of the trawl process

Computing the scaled realised quarticity

nonpar_trawlest

Nonparametric estimation of the trawl function

Computing the infeasible test statistic from the trawl function estimation CLT

test_asymnorm_est

Computing the feasible statistic of the trawl function CLT

asymptotic_variance_est

Estimating the asymptotic variance in the trawl function CLT

Evaluates the exponential trawl function

test_asymnorm_est_dev

Computing the feasible statistic of the trawl function CLT

Evaluates the long memory trawl function

sim_weighted_trawl

Simulation of a weighted trawl process

trawl_deriv_mod

Estimating the derivative of the trawl function

Estimating the derivative of the trawl function using the empirical derivative

Evaluates the supIG trawl function

sim_weighted_trawl_gen

Simulation of a weighted trawl process with generic trawl function

asymptotic_variance

Computing the true asymptotic variance in the CLT of the trawl estimation

Autocorrelation function of the supIG trawl function

Autocorrelation function of the long memory trawl function

Nonparametric estimation of the trawl set Leb(A)

Nonparametric estimation of the trawl (sub-) sets Leb(A), Leb(A intersection A_h), Leb(A setdifference A_h)

LebA_slice_ratio_est_acfbased

Nonparametric estimation of the ratios Leb(A intersection A_h)/Leb(A), Leb(A setdifference A_h)/Leb(A)

Autocorrelation function of the exponential trawl function

Add slices and return vector of the sums of slices

AddWeightedSlices_Rcpp

Add slices and return vector of the weighted sums of slices