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Apologies if this is not the appropriate place to post this - this my very first contribution to Quantitative Finance Stack Exchange. I was hoping someone could help me with the following issue. I am using yuima to model a 3-dimensional diffusion process:

model <- setModel(drift = c("((-1)/(2-x1))-1/2","0","0"),                    
                  diffusion = matrix(c("1","0","0","0","1","0","0","0","1"), 3, 3),
                  solve.variable = c("x1","x2","x3"))

and then to simulate it and plot it:

sampling <- setSampling(Initial = 0, Terminal = 10, n = 1000)
yuima <- setYuima(model = model, sampling = sampling)
simulation <- simulate(yuima,xinit = 1)
plot(simulation)

which seems to work. However: this generates a plot of each time-series x1, x2, and x3 over time when in reality what I am really trying to visualise is how the three-dimensional path (with polar coordinates x1, x2, and x3) would look like.

Unless there is a version of plot3D or similar in yuima (I have googled it with no luck), what would really help me would be if there was a way of converting the (three) time-series simulation into a matrix or a list, in which case I am pretty sure I would be able to get the desired plot.

Any help will be much appreaciated. All the best.

Edit: the answer I've selected solved my issue, but for future reference these are the contents of simulate:

    > print(str(simulate))
Formal class 'standardGeneric' [package "methods"] with 8 slots
  ..@ .Data     :function (object, nsim = 1, seed = NULL, xinit, true.parameter, space.discretized = FALSE, increment.W = NULL, increment.L = NULL, 
    method = "euler", hurst, methodfGn = "WoodChan", sampling = sampling, subsampling = subsampling, ...)  
  ..@ generic   : chr "simulate"
  .. ..- attr(*, "package")= chr "yuima"
  ..@ package   : chr "yuima"
  ..@ group     : list()
  ..@ valueClass: chr(0) 
  ..@ signature : chr [1:13] "object" "nsim" "seed" "xinit" ...
  ..@ default   : NULL
  ..@ skeleton  : language (function (object, nsim = 1, seed = NULL, xinit, true.parameter, space.discretized = FALSE, increment.W = NULL, i| __truncated__ ...
NULL
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  • $\begingroup$ Hi: You should show the contents of simulate by doing print(str(simulate)). hopefully it's not too big. given that, myself or someone else can show you how to make a matrix or a data.frame out of x,y and z. $\endgroup$
    – mark leeds
    May 13, 2021 at 3:25
  • $\begingroup$ Hi Mark, I've edited the question as you suggested just in case it helps anyone in the future! $\endgroup$
    – reverendjamesm
    May 14, 2021 at 0:47
  • $\begingroup$ Thanks JMG. Unfortunately, I don't use S4 much so I'm not clear on how one would know from the str output that the component was zoo.data and a list with those 3 components. that Pleb accessed. Maybe another step is then required and Pleb can possibly comment on that for future readers. $\endgroup$
    – mark leeds
    May 14, 2021 at 13:45
  • $\begingroup$ @markleeds The simulation object is an S4 class containing attributes/fields/slots. In order to get the slots from the simulation object you write str(simulation). You will observe that simulation is a class called yuima.data and contains an attribute called data. Within this attribute, you can observe another attribute called zoo.data that contains a list of three time-series objects called "Series 1", "Series 2", "Series 3". I guessed this was the output data, since the only other data the class contained, was the original data. Also, you can access attributes via @. $\endgroup$
    – Pleb
    May 14, 2021 at 19:51
  • 1
    $\begingroup$ Thanks Pleb. It's much appreciated and useful. $\endgroup$
    – mark leeds
    May 16, 2021 at 1:34

1 Answer 1

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You can recover the simulations from the Yuima simulation object via the field calls:

Ser1 <- simulation@data@zoo.data$"Series 1"
Ser2 <- simulation@data@zoo.data$"Series 2"
Ser3 <- simulation@data@zoo.data$"Series 3"

And then convert the above into a matrix using cbind:

Sims_to_matrix <- cbind(Ser1, Ser2, Ser3)

Now, you can use your favorite 3d plotting tool (eg. Plotly), to get what you desire. You could also construct your own fancy line-graphs using ggplot2. I hope this helps!

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    $\begingroup$ Thank you very much, that solves my problem! $\endgroup$
    – reverendjamesm
    May 14, 2021 at 0:39

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