How can I set up the jump distribution for a CompoundPoissonProcess? #259
Description
The definition of the CompoundPoissonProcess mentions being able to control jump sizes:
A compound Poisson process for modeling jump processes.
The process has jumps that occur according to a Poisson process with given rate,
and jump sizes determined by a specified distribution.
Still, I haven't been able to find the syntax for this in the code or documentation. There seem to be fields only for the rates, but no mention of the distribution for the jump size/direction:
# Fields
- `rate`: Jump rate function or constant (λ parameter)
- `currate`: Current rate value (cached for efficiency)
- `computerates`: Whether to recompute rates at each step
Is there a function that allows me to model the probability distribution for the jump as well? I.e. with a Distributions.jl object or some other type for which rand is well defined?