acdsim: ACD simulation

Description Usage Arguments Value

View source: R/acd-sim.R

Description

Produce simulation for ACD model.

Usage

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acdsim = function(fit, n.sim = 1000, n.start = 0, endpoint = NA, m.sim = 1,
           presigma = NA, prereturns = NA, preresiduals = NA, preskew = NA,
          preshape = NA, rseed = NA,...)

Arguments

fit

ACDfit object

n.sim

Simulation horizon

n.start

Burn-in period in the simulation

endpoint

This is my additional argument, specify the endpoint in the fitted series that will be used as pre-values to start the simulation

m.sim

Number of simulation serires

rseed

The seed number that must be suplied at the same legth as m.sim arguments to ensure the reproducibility

pre..

The user-specified pre-values of sigma, returns, residuals, skew, shape that will be used to start the simulation

Value

An ACDsim object with simulated values for returns, sigma, skew, shape


TrungLeVn/SgtAcd documentation built on July 25, 2021, 4:49 a.m.