Package: ambit 0.2.3

ambit: Simulation and Estimation of Ambit Processes

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

Authors:Almut E. D. Veraart [aut, cre, cph]

ambit_0.2.3.tar.gz
ambit_0.2.3.zip(r-4.7-x86_64)ambit_0.2.3.zip(r-4.7-arm64)ambit_0.2.3.zip(r-4.6-x86_64)ambit_0.2.3.zip(r-4.6-arm64)ambit_0.2.3.zip(r-4.5-x86_64)
ambit_0.2.3.tgz(r-4.6-x86_64)ambit_0.2.3.tgz(r-4.6-arm64)ambit_0.2.3.tgz(r-4.5-x86_64)ambit_0.2.3.tgz(r-4.5-arm64)
ambit_0.2.3.tar.gz(r-4.7-arm64)ambit_0.2.3.tar.gz(r-4.7-x86_64)ambit_0.2.3.tar.gz(r-4.6-arm64)ambit_0.2.3.tar.gz(r-4.6-x86_64)
ambit_0.2.3.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
ambit/json (API)

# Install 'ambit' in R:
install.packages('ambit', repos = c('https://almutveraart.r-universe.dev', 'https://cloud.r-project.org'))
Uses libs:
  • c++– GNU Standard C++ Library v3

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

cpp

3.00 score 7 scripts 384 downloads 41 exports 31 dependencies

Last updated from:9b481953ac. Checks:15 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK169
linux-devel-x86_64OK202
source / vignettesOK265
linux-release-arm64OK168
linux-release-x86_64OK221
macos-release-arm64OK137
macos-release-x86_64OK433
macos-oldrel-arm64OK137
macos-oldrel-x86_64OK294
windows-devel-arm64OK371
windows-devel-x86_64OK207
windows-release-arm64OK376
windows-release-x86_64OK137
windows-oldrel-x86_64OK172
wasm-releaseOK98

Exports:acf_Expacf_LMacf_supIGAddSlices_RcppAddWeightedSlices_Rcppasymptotic_varianceasymptotic_variance_estc4estdiscrete_fourier_sin_cosfit_exp_periodic_trawlfit_exp_sin_trawlfit_exp_sin_trawl_periodfixedfit_exp_sin_trawl_periodogramfit_LM_periodic_trawlfit_LM_sin_trawlfourier_sin_coskernel_generic_trawl_acfkernel_generic_trawl_acf_incrtolkernel_trawl_acfkernel_trawl_acf_exp_periodickernel_trawl_acf_exp_sinkernel_trawl_acf_LM_periodicLebA_estLebA_slice_estLebA_slice_est_approxLebA_slice_ratio_est_acfbasedmy_maemy_msemy_resultsnonpar_trawlestrqsim_weighted_trawlsim_weighted_trawl_gentest_asymnormtest_asymnorm_esttrawl_derivtrawl_deriv_modtrawl_esttrawl_Exptrawl_LMtrawl_supIG

Dependencies:clicpp11DEoptimfarverfBasicsggplot2gluegssgtableisobandlabelinglifecycleLSTSMASSnnetpatchworkR6rbibutilsRColorBrewerRcppRdpackrlangS7scalesspatialstabledisttimeDatetimeSeriesvctrsviridisLitewithr

Vignette: Estimating the trawl function
Trawl processes | Non-parametric estimation of the trawl function | Functions used for the central limit theorem | References
Rendered fromvignette2_trawlfct_estimation.Rmdusingknitr::rmarkdown

Last update: 2022-08-19
Started: 2022-08-19

Vignette: Simulation of (weighted) trawl processes
Definition of a (weighted) trawl process | Choice of the trawl function | Choice of kernel/weight | Choice of Lévy bases | Support on $(0, \infty)$ | Support on $\mathbb{R}$ | Support on $\mathbb{N}_0={0, 1, \ldots}$ | Examples
Rendered fromvignette1_simulation.Rmdusingknitr::rmarkdown

Last update: 2022-08-19
Started: 2022-08-19

Readme and manuals

Help Manual

Help pageTopics
Autocorrelation function of the exponential trawl functionacf_Exp
Autocorrelation function of the long memory trawl functionacf_LM
Autocorrelation function of the supIG trawl functionacf_supIG
Add slices and return vector of the sums of slicesAddSlices_Rcpp
Add slices and return vector of the weighted sums of slicesAddWeightedSlices_Rcpp
Computing the true asymptotic variance in the CLT of the trawl estimationasymptotic_variance
Estimating the asymptotic variance in the trawl function CLTasymptotic_variance_est
Estimating the fourth cumulant of the trawl processc4est
discrete_fourier_sin_cosdiscrete_fourier_sin_cos
Fits an exponential periodic trawl function to equidistant time series datafit_exp_periodic_trawl
Fits an exponential trawl function to equidistant time series datafit_exp_sin_trawl
Fits an exponential trawl function to equidistant time series datafit_exp_sin_trawl_periodfixed
Fits an exponential trawl function to equidistant time series datafit_exp_sin_trawl_periodogram
Fits a supGamma periodic trawl function to equidistant time series datafit_LM_periodic_trawl
Fits a LM periodic trawl function to equidistant time series datafit_LM_sin_trawl
fourier_sin_cosfourier_sin_cos
kernel_generic_trawl_acfkernel_generic_trawl_acf
kernel_generic_trawl_acf_incrtolkernel_generic_trawl_acf_incrtol
kernel_trawl_acfkernel_trawl_acf
kernel_trawl_acf_exp_periodickernel_trawl_acf_exp_periodic
kernel_trawl_acf_exp_sinkernel_trawl_acf_exp_sin
kernel_trawl_acf_LM_periodickernel_trawl_acf_LM_periodic
Nonparametric estimation of the trawl set Leb(A)LebA_est
Nonparametric estimation of the trawl (sub-) sets Leb(A), Leb(A intersection A_h), Leb(A setdifference A_h)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 ratios Leb(A intersection A_h)/Leb(A), Leb(A setdifference A_h)/Leb(A)LebA_slice_ratio_est_acfbased
my_msemy_mae
my_msemy_mse
my_resultsmy_results
Nonparametric estimation of the trawl functionnonpar_trawlest
Computing the scaled realised quarticityrq
Simulation of a weighted trawl processsim_weighted_trawl
Simulation of a weighted trawl process with generic trawl functionsim_weighted_trawl_gen
Computing the infeasible test statistic from the trawl function estimation CLTtest_asymnorm
Computing the feasible statistic of the trawl function CLTtest_asymnorm_est
Computing the feasible statistic of the trawl function CLTtest_asymnorm_est_dev
Estimating the derivative of the trawl function using the empirical derivativetrawl_deriv
Estimating the derivative of the trawl functiontrawl_deriv_mod
Bias-corrected nonparametric estimation of the trawl functiontrawl_est
Evaluates the exponential trawl functiontrawl_Exp
Evaluates the long memory trawl functiontrawl_LM
Evaluates the supIG trawl functiontrawl_supIG