SimQuantilesWBM: Function to estimate quantiles for weigthed Brownian Motion...

In GenOU: Sequential Change-Point Tests for Generalized Ornstein-Uhlenbeck Processes

Function to estimate quantiles for weigthed Brownian Motion functional

Description

Function to calculate the critical value for the Euclidean norm of d-dimensional BM divided by t^gamma

Usage

SimQuantilesWBM(
  n,
  d,
  gamma,
  B = 50000,
  alpha = c(0.9, 0.95, 0.975, 0.99),
  n_cores = 2
)

Arguments

n	number of points
d	dimension of Brownian motion
gamma	parameter between 0 and 0.5 (not included)
B	number of bootstrap samples (default 50000)
alpha	vector of probabilities (default is (.90,.95,.975,.99))
n_cores	number of cores for parallel computing (default is 2)

Value

qs	Simulated quantiles of weighted BM

GenOU documentation built on Aug. 28, 2025, 9:09 a.m.