R: Simulation and Estimation of Ambit Processes

# Simulation and Estimation of Ambit Processes

## Documentation for package ‘ambit’ version 0.2.3

- DESCRIPTION file
- User guides, package vignettes and other documentation
- Package NEWS
- Package README

## Help Pages

acf_Exp | Autocorrelation function of the exponential trawl function
acf_LM | Autocorrelation function of the long memory trawl function
acf_supIG | Autocorrelation function of the supIG trawl function
AddSlices_Rcpp | Add slices and return vector of the sums of slices
AddWeightedSlices_Rcpp | Add slices and return vector of the weighted sums of slices
asymptotic_variance | Computing the true asymptotic variance in the CLT of the trawl estimation
asymptotic_variance_est | Estimating the asymptotic variance in the trawl function CLT
c4est | Estimating the fourth cumulant of the trawl process
discrete_fourier_sin_cos | discrete_fourier_sin_cos
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_exp_sin_trawl_periodfixed | Fits an exponential trawl function to equidistant time series data
fit_exp_sin_trawl_periodogram | Fits an exponential trawl function to equidistant time series data
fit_LM_periodic_trawl | Fits a supGamma periodic trawl function to equidistant time series data
fit_LM_sin_trawl | Fits a LM periodic trawl function to equidistant time series data
fourier_sin_cos | fourier_sin_cos
kernel_generic_trawl_acf | kernel_generic_trawl_acf
kernel_generic_trawl_acf_incrtol | kernel_generic_trawl_acf_incrtol
kernel_trawl_acf | kernel_trawl_acf
kernel_trawl_acf_exp_periodic | kernel_trawl_acf_exp_periodic
kernel_trawl_acf_exp_sin | kernel_trawl_acf_exp_sin
kernel_trawl_acf_LM_periodic | kernel_trawl_acf_LM_periodic
LebA_est | Nonparametric estimation of the trawl set Leb(A)
LebA_slice_est | Nonparametric estimation of the trawl (sub-) sets Leb(A), Leb(A intersection A_h), Leb(A setdifference A_h)
LebA_slice_est_approx | 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)
my_mae | my_mse
my_mse | my_mse
my_results | my_results
nonpar_trawlest | Nonparametric estimation of the trawl function
rq | Computing the scaled realised quarticity
sim_weighted_trawl | Simulation of a weighted trawl process
sim_weighted_trawl_gen | Simulation of a weighted trawl process with generic trawl function
test_asymnorm | Computing the infeasible test statistic from the trawl function estimation CLT
test_asymnorm_est | Computing the feasible statistic of the trawl function CLT
test_asymnorm_est_dev | Computing the feasible statistic of the trawl function CLT
trawl_deriv | Estimating the derivative of the trawl function using the empirical derivative
trawl_deriv_mod | Estimating the derivative of the trawl function
trawl_est | Bias-corrected nonparametric estimation of the trawl function
trawl_Exp | Evaluates the exponential trawl function
trawl_LM | Evaluates the long memory trawl function
trawl_supIG | Evaluates the supIG trawl function