lppl_simulate_FS: Simulate a LPPL model using the formula in Filimonov and...

In deanfantazzini/bubble: Tests for financial bubbles and explosive behavior

Description

This function simulates a LPPL model using the formula in Filimonov and Sornette (2013)

Usage

lppl_simulate_FS(T = 500, true_parm)

Arguments

T	is the number of simulated time steps
true_parm	is a a 8 x 1 vector containing the parameters for the simulation

Details

This function simulates a LPPL model using the formula in Filimonov and Sornette (2013), with parameter vector given by true_param and make a plot of it. More specifically, the LPPL parameters in the true_param vector are given below:

true_parm[1] = beta

true_parm[2] = omega

true_parm[3] = A

true_parm[4] = B

true_parm[5] = C1

true_parm[6] = C2

true_parm[7] = the critical time tc

true_parm[8] = sigma (i.e. the error term variance)

Value

y a T x 1 vector of simulated data

Examples

 ## Not run: 
 tparm=c(0.35, 4.15, 7.16,-0.43, -0.016, 0.031, 530, 0.00007)
 a1=lppl_simulate_FS(500,tparm)
 est.all<-lppl_estimate_rob_3all(a1)
 est.all$param.FS
 
## End(Not run)

deanfantazzini/bubble documentation built on Oct. 22, 2020, 2:43 p.m.