bm_compound_poisson: Generates a (correlated) Brownian motion path with correlated...
In ntwk: Statistical Inference for Network Time Series

Description Usage Arguments Value Examples

Generates a (correlated) Brownian motion path with correlated but unsynchronised Gaussian jumps.

bm_compound_poisson(
  n,
  sigma,
  jump_sigma,
  n_jumps,
  delta_time,
  synchronised = FALSE
)

`n`	Length of the path
`sigma`	Correlation matrix for the Brownian part.
`jump_sigma`	Correlation matrix for the jump part.
`n_jumps`	Number of jumps.
`delta_time`	Time step.
`synchronised`	Boolean to synchronise all jumps or not.

A BM path with Correlated Gaussian jumps

n <- 1000
sigma <- matrix(c(1.0, 0.2, 0.2, 0.2, 1.0, 0.2, 0.2, 0.2, 1.0), 3, 3)
jump_sigma <- sigma
n_jumps <- 50
delta_time <- 0.5
bm_compound_poisson(n, sigma, jump_sigma, n_jumps, delta_time)