Displaying 1 result from an estimated 1 matches for "xt_init_cond".
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rt_init_cond
2013 Jan 03
2
simulation
...lt;-0.5
lambda<-0.3
a<-c/lambda
n<-500
## Eq.12 (the v_t random walk)
V_init_cond<-0
Et<-ts(rnorm(n+100,mean=0,sd=1))
Vt<-Et*0
Vt[1]<-V_init_cond+Et[1]
for(i in 2:(n+100)) {
Vt[i]<-Vt[i-1]+Et[i]
}
Vt<-ts(Vt[(length(Vt)-n+1):length(Vt)])
plot(Vt)
## Eq.13 (the strategy)
Xt_init_cond<-0
Xt<-Xt_init_cond*0
Xt[2]<-c(Vt[1]-Pt[1])
for(i in 2:(n)){
Xt[i]<-c(Vt[i-1]-Pt[i-1])
}
Xt<-ts(Xt[(length(Xt)-n+1):length(Xt)])
plot(Xt)
## Eq. 14 (pice dynamics)
P_init_cond<-0
Pt<-Rt*0
Pt[1]<-P_init_cond+Rt[1]
for(i in 2:(n+100)) {
Pt[i]<-Pt[i-1]+Rt[i]
}
Pt<-ts(Pt[...