Description Usage Arguments Author(s) See Also Examples
This function plots colored bands for time series percentiles and confidence
intervals. You can use it for outputs from link{simdiff}
,
link{esgmartingaletest}
, link{esgcortest}
.
1 | esgplotbands(x, ...)
|
x |
a times series object |
... |
additionnal (optional) parameters provided to |
Thierry Moudiki
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 | # Times series
kappa <- 1.5
V0 <- theta <- 0.04
sigma <- 0.2
theta1 <- kappa*theta
theta2 <- kappa
theta3 <- sigma
x <- simdiff(n = 100, horizon = 5,
frequency = "quart",
model = "OU",
x0 = V0, theta1 = theta1, theta2 = theta2, theta3 = theta3)
par(mfrow=c(2,1))
esgplotbands(x, xlab = "time", ylab = "values")
matplot(time(x), x, type = 'l', xlab = "time", ylab = "series values")
# Martingale test
r0 <- 0.03
S0 <- 100
sigma0 <- 0.1
nbScenarios <- 100
horizon0 <- 10
eps0 <- simshocks(n = nbScenarios, horizon = horizon0, frequency = "quart",
method = "anti")
sim.GBM <- simdiff(n = nbScenarios, horizon = horizon0, frequency = "quart",
model = "GBM",
x0 = S0, theta1 = r0, theta2 = sigma0,
eps = eps0)
mc.test <- esgmartingaletest(r = r0, X = sim.GBM, p0 = S0, alpha = 0.05)
esgplotbands(mc.test)
# Correlation test
nb <- 500
s0.par1 <- simshocks(n = nb, horizon = 3, frequency = "semi",
family = 1, par = 0.2)
s0.par2 <- simshocks(n = nb, horizon = 3, frequency = "semi",
family = 1, par = 0.8)
(test1 <- esgcortest(s0.par1))
(test2 <- esgcortest(s0.par2))
par(mfrow=c(2, 1))
esgplotbands(test1)
esgplotbands(test2)
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