Simulation of Wiener processes.
Integer. Number of discretization points.
Integer. Number of observations.
Integer. Length of the Karhunen-Loève expansion (2
This function use the known Karhunen-Loève expansion of Wiener processes to simulate observations of such a process.
m2 is internally used to set the length of the
expansion. This expansion need to be larger than the number of
discretization points, but a too important value may slow down the
generation. The default value as been chosen as a compromise.
fdata object containing one variable ("var") which is a Wiener
process of length
m discretization points.
Pumo, B. (1992). Estimation et Prévision de Processus Autoregressifs Fonctionnels. Applications aux Processus à Temps Continu. PhD Thesis, University Paris 6, Pierre et Marie Curie.
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