plot.SVDNF {SVDNF} | R Documentation |
DNF Filtering Distribution Plot Function
Description
This function plots the median of the filtering and prediction distributions estimated from the DNF
along with user-selected upper and lower percentiles.
Usage
## S3 method for class 'SVDNF'
plot(x, lower_p = 0.05, upper_p = 0.95, tlim = 'default',
location = 'topright', ...)
Arguments
x |
An |
lower_p |
Lower percentile of the filtering distribution to plot. |
upper_p |
Upper percentile of the filtering distribution to plot. |
tlim |
The If |
location |
Location keyword passed to the |
... |
Other parameters to be passed through to function. |
Value
No return value; this function generates two plots.
The first has the median of the volatility factor obtained from the prediction distribution as well as its upper and lower percentiles from lower_p
and upper_p
.
The second has the median of the volatility factor obtained from the filtering distribution as well as its upper and lower percentiles from lower_p
and upper_p
.
Examples
set.seed(1)
# Generate 500 returns from the Bates model.
Bates_mod <- dynamicsSVM(model = "Bates")
Bates_sim <- modelSim(t = 500, dynamics = Bates_mod)
# Runs DNF on the data.
dnf_filter <- DNF(data = Bates_sim$returns, dynamics = Bates_mod)
# Plot whole interval (default)
plot(dnf_filter, ylim = c(0, 0.15), type = 'l',
ylab = "Volatility Factor", xlab = 'Time')
# Plot specific interval
tlim <- c(100,350)
plot(dnf_filter, ylim = c(0, 0.15), type = 'l',
ylab = "Volatility Factor", xlab = 'Time', tlim = tlim)
# Plot specific point
tlim <- c(100)
plot(dnf_filter, ylim = c(0, 0.15), type = 'l',
ylab = "Volatility Factor", xlab = 'Time', tlim = tlim)