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Mattias Villani
Professor of Statistics at Stockholm University
Workspace
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Time Series
By
Mattias Villani
Edited
Dec 7, 2023
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mathjs
=
require
(
'mathjs'
)
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function
ω
(
lag
)
{
return
(
-
1
)
**
lag
*
(
mathjs
.
gamma
(
1
+
d
)
/
(
mathjs
.
factorial
(
lag
)
*
mathjs
.
gamma
(
1
+
d
-
lag
)
)
)
*
Math
.
exp
(
-
lag
*
lambda
)
;
}
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d
=
params
[
0
]
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lambda
=
params
[
1
]
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nlags
=
params
[
2
]
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data
=
Array
.
from
(
{
length
:
nlags
}
,
(
_
,
index
)
=>
index
)
.
map
(
d
=>
(
{
lag
:
d
,
weight
:
ω
(
d
)
}
)
)
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mathjs
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ω
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d
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lambda
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nlags
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data
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