sample_ERE: Sample from the ERE model with given row and column sums

In systemicrisk: A Toolbox for Systemic Risk

Description

Samples from the Erdos Reny model with Exponential weights and known marginals. Runs a Gibbs sampler to do this. A starting liabilities is generated via getfeasibleMatr before steps_ERE is called.

Usage

sample_ERE(l, a, p, lambda, nsamples = 10000, thin = 1000, burnin = 10000)

Arguments

l	vector of interbank libabilities
a	vector of interbank assets
p	probability of existence of a link (either a numerical value or a matrix). A single numerical value is converted into a matrix with 0s on the diagonal.
lambda	instensity parameters - either a numerical value or a matrix with positive entries)
nsamples	Number of samples to return.
thin	Frequency at which samples should be generated (default=1, every step)
burnin	Number of initial steps to discard.

Value

List of simulation results

Examples

l <- c(1,2.5,3)
a <- c(0.7,2.7,3.1)
L <- sample_ERE(l,a,p=0.5,lambda=0.25,nsamples=5,thin=20,burnin=10)
L

systemicrisk documentation built on May 2, 2019, 9:26 a.m.