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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

0.2.3

License

GPL-3

Maintainer

Almut D. Veraart

Last Published

February 7th, 2026

Functions in ambit (0.2.3)

Evaluates the exponential trawl function

asymptotic_variance_est

Estimating the asymptotic variance in the trawl function CLT

Bias-corrected nonparametric estimation of the trawl function

Evaluates the long memory trawl function

Estimating the fourth cumulant of the trawl process

trawl_deriv_mod

Estimating the derivative of the trawl function

nonpar_trawlest

Nonparametric estimation of the trawl function

Estimating the derivative of the trawl function using the empirical derivative

fit_LM_periodic_trawl

Fits a supGamma periodic trawl function to equidistant time series data

kernel_generic_trawl_acf

kernel_generic_trawl_acf

Computing the infeasible test statistic from the trawl function estimation CLT

kernel_generic_trawl_acf_incrtol

kernel_generic_trawl_acf_incrtol

sim_weighted_trawl_gen

Simulation of a weighted trawl process with generic trawl function

fit_exp_sin_trawl_periodogram

Fits an exponential trawl function to equidistant time series data

Evaluates the supIG trawl function

fourier_sin_cos

fourier_sin_cos

test_asymnorm_est

Computing the feasible statistic of the trawl function CLT

kernel_trawl_acf_exp_sin

kernel_trawl_acf_exp_sin

kernel_trawl_acf_exp_periodic

kernel_trawl_acf_exp_periodic

Computing the scaled realised quarticity

sim_weighted_trawl

Simulation of a weighted trawl process

test_asymnorm_est_dev

Computing the feasible statistic of the trawl function CLT

LebA_slice_est_approx

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

Autocorrelation function of the long memory trawl function

Autocorrelation function of the exponential trawl function

LebA_slice_ratio_est_acfbased

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

Nonparametric estimation of the trawl set Leb(A)

AddWeightedSlices_Rcpp

Add slices and return vector of the weighted sums of slices

Autocorrelation function of the supIG trawl function

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

asymptotic_variance

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

Add slices and return vector of the sums of slices

fit_exp_periodic_trawl

Fits an exponential periodic trawl function to equidistant time series data

fit_exp_sin_trawl

Fits an exponential trawl function to equidistant time series data

fit_LM_sin_trawl

Fits a LM periodic trawl function to equidistant time series data

kernel_trawl_acf

kernel_trawl_acf

kernel_trawl_acf_LM_periodic

kernel_trawl_acf_LM_periodic

fit_exp_sin_trawl_periodfixed

Fits an exponential trawl function to equidistant time series data

discrete_fourier_sin_cos

discrete_fourier_sin_cos