ACD_Simul: Function for Simulation of an ACD model

In fACD: Autoregressive Conditional Duration Models in R

Description

This function simulates an ACD process based on input arguments.

Usage

ACD_Simul(nr, Coeff, distrib = "exp", typeACD = "ACD")

Arguments

nr	Number of observations in simulation
Coeff	List with all coefficients (check example)
distrib	Distribution assumption for disturbance ('exp' or 'weibull'
typeACD	Type of ACD model to be simulated ('ACD', 'log', 'BC' or 'EX')

Value

Returns a vector with the simulated duration series

Author(s)

Marcelo Perlin - ICMA/UK <[e-mail]>

See Also

ACD_Fit

Examples

nr=1000

pLag=1
qLag=1
distrib='weibull'

typeACD='BC'

Coeff<-list(w=.05  ,
            q=0.016,
            p=.95  ,
            y=.9   ,
            delta=.4)

simDur<-ACD_Simul(nr,Coeff,distrib,typeACD)

plot(simDur,xlab='Event',ylab='Simulated Duration',type='l')

fACD documentation built on May 2, 2019, 6:10 p.m.