simulate_weather_paths: Simulate Temperature Paths via Non-Homogeneous Jump-Diffusion

In weatherMRJD: Weather Analysis and Markov Regime Switching Jump Diffusion Models

Simulate Temperature Paths via Non-Homogeneous Jump-Diffusion

Description

Generates discretized Monte Carlo sample trajectories of daily average temperatures.

Usage

simulate_weather_paths(
  n_paths = 5000,
  days = 365,
  kappa = 0.08,
  sigma_0 = 2.5,
  lambda_0 = 0.05,
  lambda_1 = 0.03,
  mu_jump = -3,
  sigma_jump = 1.5,
  baseline_temp = 14.5,
  amplitude_temp = 11.2
)

Arguments

n_paths	Integer count of simulation paths.
days	Horizon length in days (default 365).
kappa	Mean-reversion speed.
sigma_0	Baseline volatility.
lambda_0	Baseline jump intensity.
lambda_1	Amplitude of dynamic seasonal jump intensity.
mu_jump	Mean jump magnitude.
sigma_jump	Volatility of jump magnitude.
baseline_temp	Baseline temperature parameter A.
amplitude_temp	Seasonal temperature amplitude.

Value

An (n_paths x days) matrix of simulated daily temperatures.

Examples

paths <- simulate_weather_paths(n_paths = 50, days = 30)
dim(paths)

weatherMRJD documentation built on Aug. 20, 2026, 5:10 p.m.