ev.trawl (version 0.1.0)

rtrawl: Simulation of trawl process path using Slice partition. If using customised trawl functions and primitives (i.e. trawl.function = NA), then, it is required that the user provides length(times) + deep_cols such functions and primitives where the deep_cols first one are used to reconstuct the first trawl value.

Description

Simulation of trawl process path using Slice partition. If using customised trawl functions and primitives (i.e. trawl.function = NA), then, it is required that the user provides length(times) + deep_cols such functions and primitives where the deep_cols first one are used to reconstuct the first trawl value.

Usage

rtrawl(alpha, beta, times, marg.dist, trawl.function = NA,
  trawl.fs = NA, trawl.fs.prim = NA, n, rho = NA, kappa = 0,
  transformation = F, offset_shape = NULL, offset_scale = NULL,
  deep_cols = 30)

Arguments

alpha

Shape parameter.

beta

Scale parameter.

times

Vectors of discret times.

marg.dist

Name of infinitely divisible distribution. Currenlty implemented: gamma, gaussian, generalised hyperbolic, generalised inverse gaussian.

trawl.function

Type of trawl function that should be used. Default NA.

trawl.fs

collection of trawl functions indexed on times. Default NA. Default NA if no trawl.function is indicated and should contain as many as in times.

trawl.fs.prim

collection of trawl functions primitives indexed on times. Default NA if no trawl.function is indicated and should contain as many as in times.

n

Number of simulations (so far, only n=1 is implemented).

rho

Trawl parameters. Must be positive if Exponential trawls are used.

kappa

Additive constant to scale parameter beta.

transformation

Boolean to apply marginal transform method. Default is False (F).

offset_shape

Transformed-marginal Shape parameter.

offset_scale

Transformed-marginal Scale parameter.

deep_cols

Depth of reconstruction (columns). Default is 30.

Value

Simulated path (size the same as times) of trawl process.

Examples

# NOT RUN {
alpha <- 5
beta <- 3
times <- 1:150
rho <- 0.2
trawl.function <- "exp"
margi <- "gamma"
kappa <- 0
n <- 1
rtrawl(alpha = alpha, beta = beta, kappa = kappa, times = times, n = 1,
marg.dist = margi, rho = rho, trawl.function = trawl.function)

# }