Description Usage Arguments Value Examples
Generates a trajectory xt given initial state z0 according to an Ornstein-Uhlenbeck process.
1 | rTrajectoryOU(z0, t, alpha, theta, sigma, steps = 1)
|
z0 |
Numeric value, initial state. |
t |
Numeric value or vector of size steps, denoting the time-step(s). |
alpha, theta, sigma |
Numeric values, parameters of the OU process. |
steps |
Integer, number of steps. |
A numeric vector of length steps containing the generated values at times 0+t, 0+2t, ..., 0+steps*t.
1 2 3 4 5 | z0 <- 0
nSteps <- 100
t <- 0.01
trajectory <- rTrajectoryOU(z0, t, 2, 2, 1, steps = nSteps)
plot(trajectory, type = 'l')
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