rRCMT: Tailed Exponential and Weibull Random Coefficient...

In RCMinification: Random Coefficient Minification Time Series Models

Tailed Exponential and Weibull Random Coefficient Minification Process Simulator

Description

This function simulates sequences of tailed exponential and Weibull random coefficient minification process variates. Random coefficients are lognormal distributed with parameters mu and sigma.

Usage

rRCMT(n, p, p.delta, p.eps, lambda, gamma, mu, sigma, RCMTobj)

Arguments

n	number of observations.
p	power for transformation from exponential to Weibull.
p.delta	tailed exponential probability parameter when preceding observation is 0
p.eps	tailed exponential probability parameter when preceding observation is nonzero.
lambda	tailed exponential rate parameter when preceding observation is nonzero.
gamma	tailed exponential rate parameter when preceding observation is 0.
mu	mu parameter for lognormal distribution used to simulated random coefficients.
sigma	sigma parameter for lognormal distribution used to simulate random coefficients.
RCMTobj	list containing elements n, p, p.delta, p.eps, lambda and gamma

Author(s)

L. Han

References

Han, L., Braun, W.J. and Loeppky (2018) Random Coefficient Minification Processes. Statistical Papers, pp 1-22.

RCMinification documentation built on Jan. 17, 2023, 5:14 p.m.