acf_LM function

Autocorrelation function of the long memory trawl function

Autocorrelation function of the long memory trawl function

This function computes the autocorrelation function associated with the long memory trawl function.

acf_LM(x, alpha, H)

Arguments

  • x: The argument (lag) at which the autocorrelation function associated with the long memory trawl function will be evaluated
  • alpha: parameter in the long memory trawl
  • H: parameter in the long memory trawl

Returns

The autocorrelation function of the long memory trawl function evaluated at x

Details

The trawl function is parametrised by the two parameters H>1H> 1

and α>0\alpha > 0 as follows:

g(x)=(1−x/α)−H,\mboxforx≤0. g(x) = (1-x/\alpha)^{-H}, \mbox{ for} x \le 0.

Its autocorrelation function is given by

r(x)=(1+x/α)(1−H),\mboxforx≥0. r(x)=(1+x/\alpha)^{(1-H)}, \mbox{ for } x \ge 0.

Examples

acf_LM(1,0.3,1.5)
trawl packageRead PDF manual
  • Maintainer: Almut E. D. Veraart
  • License: GPL-3
  • Last published: 2021-02-22

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