dgp.ou: Ornstein–Uhlenbeck Process Generator

In FTSgof: White Noise and Goodness-of-Fit Tests for Functional Time Series

Ornstein–Uhlenbeck Process Generator

Description

It generates iid functional curve data following the Ornstein–Uhlenbeck process.

Usage

dgp.ou(J, N)

Arguments

J	The number of grid points in each curve observation.
N	The sample size.

Details

The Ornstein–Uhlenbeck process is given by: x_i(t)=e^{-t/2}W_i(e^t), t \in [0,1],
where W_i(t) is a standard Brownian Motion.

Value

A (grid points) x (number of observations) matrix for iid sequences, where the finite realization of curves are stored in columns.

Examples

# Generate discrete evaluations of 100 iid curves
# that each curve is realized on 50 grid points.
yd_ou = dgp.ou(J = 50, N = 100)

FTSgof documentation built on Oct. 4, 2024, 1:06 a.m.