rcss (version 1.8)

PathDisturb: Path Simulation

Description

Simulate sample paths using disturbances.

Usage

PathDisturb(start, disturb)

Arguments

start

Array representing the start. The first entry must be 1 and array [-1] represents the starting state.

disturb

4-dimensional array containing the path disturbances. Matrix [,,i,j] represents the disturbance at time j for sample path i.

Value

3-dimensional array representing the generated paths. Array [i,,j] represents the state at time i for sample path j.

Examples

# NOT RUN {
## Simulating AR(2) process
start <- c(1, 0, 0)
n_dim <- length(start)
n_path <- 10
psi1 <- 0.3
psi2 <- 0.65
n_dec <- 21
path_disturb <- array(data = matrix(c(1, 0,    0,
                                      0, 0,    1,
                                      0, psi2, psi1), ncol = 3, byrow = TRUE),
                      dim = c(n_dim, n_dim, n_path, (n_dec - 1)))
path_disturb[3,1,,] <- runif(n_path * (n_dec - 1), -1, 1)
path <- PathDisturb(start, path_disturb)
# }