bm_compound_poisson_ghyp: 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 GHYP jumps.

1	bm_compound_poisson_ghyp(n, sigma, ghyp_distr, n_jumps, delta_time)

`n`	Length of the path
`sigma`	Correlation matrix for the Brownian part.
`ghyp_distr`	GHYP distribution (`ghyp::ghyp`).
`n_jumps`	Number of jumps.
`delta_time`	Time step.

A BM path with Correlated Gaussian jumps

n <- 1000
d <- 3
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
ghyp_distr <- ghyp::ghyp(mu = rep(0, d))
bm_compound_poisson_ghyp(n, sigma, ghyp_distr, n_jumps, delta_time)