simulate,hiddenDiffusion-method {BaPreStoPro} | R Documentation |
Simulation of a hidden stochastic process model Z_i = Y_{t_i} + ε_i, dY_t = b(φ,t,Y_t)dt + γ \widetilde{s}(t,Y_t)dW_t, ε_i\sim N(0,σ^2), Y_{t_0}=y_0(φ, t_0).
## S4 method for signature 'hiddenDiffusion' simulate(object, nsim = 1, seed = NULL, t, mw = 10, plot.series = TRUE)
object |
class object of parameters: "hiddenDiffusion" |
nsim |
number of trajectories to simulate. Default is 1. |
seed |
optional: seed number for random number generator |
t |
vector of time points |
mw |
mesh width for finer Euler approximation to simulate time-continuity |
plot.series |
logical(1), if TRUE, simulated series are depicted grafically |
model <- set.to.class("hiddenDiffusion", parameter = list(phi = 0.5, gamma2 = 0.01, sigma2 = 0.1)) t <- seq(0, 1, by = 0.01) data <- simulate(model, t = t, plot.series = TRUE)