correlated_brownian_noise: Generates multidimensional correlated Brownian motion...

In ntwk: Statistical Inference for Network Time Series

Description

Generates multidimensional correlated Brownian motion increments

Usage

correlated_brownian_noise(n, sigma_matrix, delta_time)

Arguments

n	Sample length
sigma_matrix	Correlation/Covariance matrix
delta_time	Time difference between steps

Value

A matrix with n rows of correlated Brownian motion using the correlation matrix sigma_matrix using time step delta_time.

Examples

set.seed(42)
corr_mat <- matrix(c(1.0, 0.2, 0.2, 0.2, 1.0, 0.2, 0.2, 0.2, 1.0), 3, 3)
n <- 1000
delta_time <- 0.01
correlated_brownian_noise(
  sigma_matrix = corr_mat, n = n, delta_time = delta_time
)

ntwk documentation built on Sept. 13, 2021, 9:07 a.m.