BaPreStoPro (version 0.1)

simulate,hiddenmixedDiffusion-method: Simulation of hierarchical (mixed) hidden diffusion model

Description

Simulation of a stochastic process $Z_{ij} = Y_{t_{ij}} + \epsilon_{ij}, dY_t = b(\phi_j,t,Y_t)dt + \gamma \widetilde{s}(t,Y_t)dW_t, \phi_j\sim N(\mu, \Omega), Y_{t_0}=y_0(\phi, t_0), \epsilon_{ij}\sim N(0,\sigma^2)$.

Usage

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

Arguments

object

class object of parameters: "hiddenmixedDiffusion"

nsim

number of data sets 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

mu <- c(5, 1); Omega <- c(0.9, 0.04)
phi <- cbind(rnorm(21, mu[1], sqrt(Omega[1])), rnorm(21, mu[2], sqrt(Omega[2])))
y0.fun <- function(phi, t) phi[2]
model <- set.to.class("hiddenmixedDiffusion", y0.fun = y0.fun,
   b.fun = function(phi, t, y) phi[1],
   parameter = list(phi = phi, mu = mu, Omega = Omega, gamma2 = 1, sigma2 = 0.01))
t <- seq(0, 1, by = 0.01)
data <- simulate(model, t = t)