BaPreStoPro (version 0.1)

simulate,hiddenDiffusion-method: Simulation of hidden diffusion process

Description

Simulation of a hidden stochastic process model $Z_i = Y_{t_i} + \epsilon_i, dY_t = b(\phi,t,Y_t)dt + \gamma \widetilde{s}(t,Y_t)dW_t, \epsilon_i\sim N(0,\sigma^2), Y_{t_0}=y_0(\phi, t_0)$.

Usage

"simulate"(object, nsim = 1, seed = NULL, t, mw = 10, plot.series = TRUE)

Arguments

object

class object of parameters: "hiddenDiffusion"

nsim

number of trajectories to simulate. Default is 1.

seed

optional: seed number for random number generator

t

vector of time points

mw

mesh width for finer Euler approximation to simulate time-continuity

plot.series

logical(1), if TRUE, simulated series are depicted grafically

Examples

model <- set.to.class("hiddenDiffusion", parameter = list(phi = 0.5, gamma2 = 0.01, sigma2 = 0.1))
t <- seq(0, 1, by = 0.01)
data <- simulate(model, t = t, plot.series = TRUE)