simulate,hiddenDiffusion-method {BaPreStoPro}R Documentation

Simulation of hidden diffusion process

Description

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).

Usage

## S4 method for signature 'hiddenDiffusion'
simulate(object, nsim = 1, seed = NULL, t,
  mw = 10, plot.series = TRUE)

Arguments

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

Examples

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)

[Package BaPreStoPro version 0.1 Index]