sim_ACD {ACDm}

ACD simulation

Description

Simulates a sample from a specified ACD model and error term distribution dist. The error terms can also be sampled from residuals. The possibility of including a diurnal seasonal component in the simulated sample is included.

Usage

    
sim_ACD(N = 1000, model = "ACD", dist = "exponential", param = NULL, order = NULL,
    Nburn = 50, startX = c(1), startMu = c(1), errors = NULL, sampleErrors = TRUE, 
    roundToSec = FALSE, rm0 = FALSE, diurnalFactor = FALSE, splineObj = NULL,
    open = NULL, close = NULL)

Arguments

N

sample size

model

the class of conditional mean duration specification. One of "ACD", "LACD1", "LACD2", "AMACD","ABACD", "SNIACD" or "LSNIACD".

dist

the distribution of the error terms (only if errors are left out). Must be one of "exponential", "weibull", "burr", "gengamma" or "genf".

param

a vector of the parameters of the DGP (data generating process).

order

a vector describing the order of the conditional mean duration specification, e.g. order = c(1,1) for an ACD(1,1) model.

Nburn

the number of burned observations. Used to lower the effect of the start values of the simulated series.

startX

a vector of values to start the simulation from.

startMu

a vector of conditional mean values to start the simulation from.

errors

a vector of error terms. If provided and sampleErrors = TRUE the errors will be sampled from this vector (with replacement). If instead sampleErrors = FALSE the error terms will be matched by the errors vector non stochastic (must then be of the same length as N + Nburn)

sampleErrors

logical flag, see errors above. Default is TRUE.

roundToSec

if TRUE the simulated sample will be discretized with 1 second(unit) precision.

rm0

if TRUE zero durations will be removed. Will the result in a smaller sample than N.

diurnalFactor

if TRUE the simulated data will include a diurnal factor. The diurnal factor is from a fitted cubic spline given as argument to splineObj. If the argument splineObj is empty, a default fitted cubic spline from transData using aggregation over weekdays will be used.

splineObj

a cubic spline return by diurnalAdj(). Currently only works with cubic splines fitted with weekday aggregation. Also see diurnalFactor above.

open

only used if diurnalFactor = TRUE and a splineObj were provided. The time the exchange opens trading (as used in the fitted splineObj), for example open = "10:00:00".

close

only used if diurnalFactor = TRUE and a splineObj were provided. The time the exchange close trading (as used in the fitted splineObj), for example close = "18:25:00".

Value

a numerical vector of simulated ACD durations

Author(s)

Markus Belfrage

Examples

x <- sim_ACD() #simulates 1000 observations from an ACD(1,1) with exp. errors as default
acdFit(x)