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Adjust simulation window #143

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Adjust simulation window #143

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2 changes: 1 addition & 1 deletion Project.toml
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Original file line number Diff line number Diff line change
@@ -1,7 +1,7 @@
name = "ScoreDrivenModels"
uuid = "4a87933e-d659-11e9-0e65-7f40dedd4a3a"
authors = ["guilhermebodin <[email protected]>, raphaelsaavedra <[email protected]>"]
version = "0.1.10"
version = "0.1.11"

[deps]
Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
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8 changes: 4 additions & 4 deletions src/simulate.jl
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Expand Up @@ -31,12 +31,12 @@ function simulate(series::Vector{T}, gas::Model{D, T}, H::Int, S::Int;
parameter_scenarios = Array{T, 3}(undef, H, n_params, S)
for scenario in 1:S
# Notice that we know the parameter time_varying parameters for T + 1
# So the last initial_params is already a part of the future simulation
# And we must take the
# So the last initial_params is already a part of the future simulation.
# When we simulate 60 steps ahead the last observation is one too much for us.
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This comment isn't too clear to me, maybe elaborate a bit here? Why 60 steps? What does it mean one too much?

sim, param = simulate_recursion(gas, H + biggest_lag; initial_params = params_simulation)
observation_scenarios[:, scenario] = sim[biggest_lag+1:end]
observation_scenarios[:, scenario] = sim[biggest_lag:end-1]
# The first param is known
parameter_scenarios[:, :, scenario] = param[biggest_lag+1:end, :]
parameter_scenarios[:, :, scenario] = param[biggest_lag:end-1, :]
end
return observation_scenarios, parameter_scenarios
end
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