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#' Simulating auto-correlation (ACF)
#'
#' This utility simulates the auto-correlation. The first few lag of ACF should match
#' the ACF from the market data fairly well. This is a major validation of a successful HMM.
#' Be aware this is a CPU intensive calculation. It uses the multi-core functionality.
#'
#' @param object an ldhmm object that can supply m, param.nbr and stationary.
#' @param n a positive integer specifying number of observations to simulate.
#' @param lag.max a positive integer, specifying number of lags to be computed.
#' @param debug logical, specifying to print progress message or not. Default is \code{FALSE}.
#'
#' @return a vector of ACF
#'
#' @keywords acf
#'
#' @author Stephen H. Lihn
#'
#' @importFrom stats cor
#'
#' @export
#'
### <======================================================================>
ldhmm.simulate_abs_acf <- function(object, n=10000, lag.max=5, debug=FALSE) {
ac <- c()
h2 <- h1 <- ldhmm.simulate_state_transition(object, init=n)
if (debug) print(paste(Sys.time(), "Finished init"))
for (k in 1:lag.max) {
h2 <- ldhmm.simulate_state_transition(h2)
ac[k] <- stats::cor(abs(h1@observations), abs(h2@observations))
if (debug) print(paste(Sys.time(), "Finished lag", k))
}
return(ac)
}
### <---------------------------------------------------------------------->
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