sim_weighted_trawl: Simulation of a weighted trawl process

In ambit: Simulation and Estimation of Ambit Processes

Simulation of a weighted trawl process

Description

This function simulates a weighted trawl process for various choices of the trawl function and the marginal distribution.

Usage

sim_weighted_trawl(
  n,
  Delta,
  trawlfct,
  trawlfct_par,
  distr,
  distr_par,
  kernelfct = NULL
)

Arguments

n	number of grid points to be simulated (excluding the starting value)
Delta	grid-width
trawlfct	the trawl function a used in the simulation (Exp, supIG or LM)
trawlfct_par	parameter vector of trawl function (Exp: lambda, supIG: delta, gamma, LM: alpha, H)
distr	marginal distribution. Choose from "Gamma" (Gamma), "Gauss" (Gaussian), "Cauchy" (Cauchy), "NIG" (Normal Inverse Gaussian), Poi" (Poisson), "NegBin" (Negative Binomial)
distr_par	parameters of the marginal distribution: (Gamma: shape, scale; Gauss: mu, sigma (i.e. the second parameter is the standard deviation, not the variance); Cauchy: l, s; NIG: alpha, beta, delta, mu; Poi: v, NegBin: m, theta)
kernelfct	the kernel function p used in the ambit process

Details

This functions simulates a sample path from a weighted trawl process given by

Y_t =\int_{(-∞,t]\times (-∞, ∞)} p(t-s)I_{(0,a(t-s))}(x)L(dx,ds),

for t ≥ 0, and returns Y_0, Y_{Δ}, …, Y_{nΔ}.

Value

path Simulated path

slice_sizes slice sizes used

S_matrix Matrix of all slices

kernelweights kernel weights used

Examples

#Simulation of a Gaussian trawl process with exponential trawl function
n<-2000
Delta<-0.1
trawlfct="Exp"
trawlfct_par <-0.5
distr<-"Gauss"
distr_par<-c(0,1) #mean 0, std 1
set.seed(233)
path <- sim_weighted_trawl(n, Delta, trawlfct, trawlfct_par, distr, distr_par)$path
#Plot the path
library(ggplot2)
df <- data.frame(time = seq(0,n,1), value=path)
p <- ggplot(df, aes(x=time, y=path))+
  geom_line()+
  xlab("l")+
  ylab("Trawl process")
  p

ambit documentation built on Aug. 19, 2022, 5:19 p.m.