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Add a burn_in_time parameter to simulate.* #40

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fabrice-rossi opened this issue Jun 28, 2023 · 1 comment
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Add a burn_in_time parameter to simulate.* #40

fabrice-rossi opened this issue Jun 28, 2023 · 1 comment
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0.2.0

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@fabrice-rossi
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As it is recommended to drop the initial samples in produced by a (CO)VLMC when used for bootstrap estimation, it would be convenient to have this feature implemented directly by simulate.vlmc(). For simulate.covlmc() the situation is much more complex as covariates are needed.
@fabrice-rossi fabrice-rossi added this to the 0.2.0 milestone Sep 1, 2023
@fabrice-rossi fabrice-rossi changed the title Add a burning_time parameter to simulate.* Add a burn_in_time parameter to simulate.* Sep 2, 2023
fabrice-rossi added a commit that referenced this issue Sep 2, 2023
@fabrice-rossi
Add a burn in period for simulate.vlmc (issue #40).
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@fabrice-rossi
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The case of covlmc is too complex to be handled automatically. For a programming point of view, this only marginally more complex than for VLMC, but on a mathematical point of view, this is far from obvious. Indeed COVLMC are not stationary as they are driven by the external covariates. This aiming to the stationary distribution is at best misguided.

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