r.ou: Ornstein-Uhlenbeck process

In fda.usc: Functional Data Analysis and Utilities for Statistical Computing

Ornstein-Uhlenbeck process

Description

Sampling of paths of the Ornstein-Uhlenbeck process.

Usage

r.ou(
  n,
  t = seq(0, 1, len = 201),
  mu = 0,
  alpha = 1,
  sigma = 1,
  x0 = rnorm(n, mean = mu, sd = sigma/sqrt(2 * alpha))
)

Arguments

n	number of curves.
t	discretization points.
mu	mean of the process.
alpha	strength of the drift.
sigma	diffusion coefficient.
x0	a number or a vector of length n giving the initial value(s) of the Ornstein-Uhlenbeck process. By default, n points are sampled from the stationary distribution.

Value

Functional sample, an fdata object of length n.

Author(s)

Eduardo Garcia-Portugues ([e-mail]).

Examples

plot(r.ou(n = 100))
plot(r.ou(n = 100, alpha = 2, sigma = 4, x0 = 1:100))

fda.usc documentation built on Oct. 17, 2022, 9:06 a.m.