Software
R packages
This package contains R functions for simulating and estimating integer-valued trawl processes as described in the article:
Veraart AED, Modelling, simulation and inference for multivariate time series of counts using trawl processes, Journal of Multivariate Analysis, 2019, Volume 169, 110-129. https://doi.org/10.1016/j.jmva.2018.08.012 R package trawl
It also contains code for simulating random vectors from the bivariate negative binomial and the bi- and trivariate logarithmic series distributions.
The package is available on CRAN.
Simulation and estimation tools for various types of ambit processes, including trawl processes and weighted trawl processes.
This package is available on CRAN.
Other software releases
This repository contains the R code for the empirical study presented in the article "Nonparametric estimation for trawl processes: Theory and Applications" by Orimar Sauri (Aalborg University) and Almut Veraart (Imperial College London). Release v1.0.0 is used in the article, https://doi.org/10.5281/zenodo.7058715.
This repository contains the R code used in the article A. E. D. Veraart (2023), Periodic trawl processes: Simulation, statistical inference and applications in energy markets. Release v1.0.0 is used in the article, https://doi.org/10.5281/zenodo.7706091.
My GitHub page is available at https://github.com/almutveraart.