ProcessGenerators: Random process generators

In pvar: Calculation and Application of p-Variation

Random process generators

Description

Generate a trajectory of random processes.

Usage

rwiener(frequency = 1000, end = 1)

rbridge(frequency = 1000, end = 1)

rcumbin(frequency = 1000, end = 1)

Arguments

frequency	a number specifying the size of trajectory vector. The trajectory will start at point 0 and will have frequency more observations. The length of the results will be frequency+1 .
end	a number. The end point of the process in the 'time' scale.

Details

rwiener generate Wiener process via partial sums process and rbridge generate Brownian bridge via rwiener. The original code of rwiener and rbridge was written in the package e1071. In this package these functions was modified to include leading zero in the beginning of the sample.

rcumbin generate partial sums process from random variables with values -1, 0, 1.

Value

A time series containing a simulated realization of random processes. The length of time series is frequency+1, since zero is always included in the beginning of the sample.

pvar documentation built on Oct. 18, 2022, 9:09 a.m.