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trawl (version 0.2.2)

Estimation and Simulation of Trawl Processes

Description

Contains R functions for simulating and estimating integer-valued trawl processes as described in the article Veraart (2019),"Modeling, simulation and inference for multivariate time series of counts using trawl processes", Journal of Multivariate Analysis, 169, pages 110-129, and for simulating random vectors from the bivariate negative binomial and the bi- and trivariate logarithmic series distributions.

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Version

Install

install.packages('trawl')

Version

0.2.2

License

GPL-3

Maintainer

Almut D. Veraart

Last Published

February 22nd, 2021

Functions in trawl (0.2.2)

Computes the covariance of the components of a bivariate vector following the bivariate modified logarithmic series distribution

Autocorrelation function of the double exponential trawl function

plot_2and1hist_gg

Plots the bivariate histogram of two time series together with the univariate histograms using ggplot2

Trivariate_LSDsim

Simulates from the trivariate logarithmic series distribution

Plots the bivariate histogram of two time series together with the univariate histograms

Fits a long memory trawl function to equidistant univariate time series data

Fits an exponential trawl function to equidistant time series data

Evaluates the double exponential trawl function

Evaluates the long memory trawl function

Evaluates the exponential trawl function

Fist a negative binomial distribution as marginal law

Autocorrelation function of the long memory trawl function

Autocorrelation function of the exponential trawl function

fit_trawl_intersection

Finds the intersection of two trawl sets

Fits a supIG trawl function to equidistant univariate time series data

fit_trawl_intersection_LM

Finds the intersection of two long memory (LM) trawl sets

fit_trawl_intersection_Exp

Finds the intersection of two exponential trawl sets

Fits the trawl function consisting of the weighted sum of two exponential functions

Autocorrelation function of the supIG trawl function

sim_UnivariateTrawl

Simulates a univariate trawl process

sim_BivariateTrawl

Simulates a bivariate trawl process

fit_marginalPoisson

Fits a Poisson distribution as marginal law

Evaluates the supIG trawl function

Computes the correlation of the components of a bivariate vector following the bivariate logarithmic series distribution

Bivariate_LSDsim

Simulates from the bivariate logarithmic series distribution

Computes the mean of the logarithmic series distribution

Computes the correlation of the components of a bivariate vector following the bivariate modified logarithmic series distribution

Computes the mean of the modified logarithmic series distribution

Computes the covariance of the components of a bivariate vector following the bivariate logarithmic series distribution

Computes the variance of the logarithmic series distribution

Bivariate_NBsim

Simulates from the bivariate negative binomial distribution

Computes the variance of the modified logarithmic series distribution