DataPPR {yuima} | R Documentation |
From zoo
data to yuima.PPR
.
Description
The function converts an object of class zoo
to an object of class yuima.PPR
.
Usage
DataPPR(CountVar, yuimaPPR, samp)
Arguments
CountVar |
An object of class |
yuimaPPR |
An object of class |
samp |
An object of class |
Value
The function returns an object of class yuima.PPR
where the slot model
contains the Point process described in yuimaPPR@model
, the slot data
contains the counting variables and the covariates observed on the grid in samp
.
Examples
## Not run:
# In this example we generate a dataset contains the Counting Variable N
# and the Covariate X.
# The covariate X is an OU driven by a Gamma process.
# Values of parameters.
mu <- 2
alpha <- 4
beta <-5
# Law definition
my.rKern <- function(n,t){
res0 <- t(t(rgamma(n, 0.1*t)))
res1 <- t(t(rep(1,n)))
res <- cbind(res0,res1)
return(res)
}
Law.PPRKern <- setLaw(rng = my.rKern)
# Point Process definition
modKern <- setModel(drift = c("0.4*(0.1-X)","0"),
diffusion = c("0","0"),
jump.coeff = matrix(c("1","0","0","1"),2,2),
measure = list(df = Law.PPRKern),
measure.type = c("code","code"),
solve.variable = c("X","N"),
xinit=c("0.25","0"))
gFun <- "exp(mu*log(1+X))"
#
Kernel <- "alpha*exp(-beta*(t-s))"
prvKern <- setPPR(yuima = modKern,
counting.var="N", gFun=gFun,
Kernel = as.matrix(Kernel),
lambda.var = "lambda", var.dx = "N",
lower.var="0", upper.var = "t")
# Simulation
Term<-200
seed<-1
n<-20000
true.parKern <- list(mu=mu, alpha=alpha, beta=beta)
set.seed(seed)
# set.seed(1)
time.simKern <-system.time(
simprvKern <- simulate(object = prvKern, true.parameter = true.parKern,
sampling = setSampling(Terminal =Term, n=n))
)
plot(simprvKern,main ="Counting Process with covariates" ,cex.main=0.9)
# Using the function get.counting.data we extract from an object of class
# yuima.PPR the counting process N and the covariate X at the arrival times.
CountVar <- get.counting.data(simprvKern)
plot(CountVar)
# We convert the zoo object in the yuima.PPR object.
sim2 <- DataPPR(CountVar, yuimaPPR=simprvKern, samp=simprvKern@sampling)
## End(Not run)
[Package yuima version 1.15.27 Index]