lamp.stable_rnd_walk: Calculate the stable random walk
In ecd: Elliptic Lambda Distribution and Option Pricing Model
lamp.stable_rnd_walk R Documentation
Calculate the stable random walk
Description
Calculate the stable random walk. There are 4 types of random walk you can specify:
11. Laplace(0,1). No skewess.
1. Experimental Laplace random walk via Gauss-Laplace transmutation.
22. Normal distribution N(0, sqrt(n))*epsilon. No skewess.
2. Binomial random walk, b*epsilon. This can produce skewness.
Usage
lamp.stable_rnd_walk(object, n, b)
Arguments
object
an object of lamp class
n
numeric, number of items in Levy sums
b
numeric, cumulative sum of signs in Levy sums
Value
numeric, the value of the random walk
Author(s)
Stephen H-T. Lihn
ecd documentation built on May 10, 2022, 1:07 a.m.
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| lamp.stable_rnd_walk | R Documentation |
Calculate the stable random walk
Description
Calculate the stable random walk. There are 4 types of random walk you can specify: 11. Laplace(0,1). No skewess. 1. Experimental Laplace random walk via Gauss-Laplace transmutation. 22. Normal distribution N(0, sqrt(n))*epsilon. No skewess. 2. Binomial random walk, b*epsilon. This can produce skewness.
Usage
lamp.stable_rnd_walk(object, n, b)
Arguments
object |
an object of lamp class |
n |
numeric, number of items in Levy sums |
b |
numeric, cumulative sum of signs in Levy sums |
Value
numeric, the value of the random walk
Author(s)
Stephen H-T. Lihn
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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