data.gen.gbm: Generate a time series of geometric Brownian motion.

In synthesis: Generate Synthetic Data from Statistical Models

Generate a time series of geometric Brownian motion.

Description

This function generates a a time series of one dimension geometric Brownian motion.

Usage

data.gen.gbm(
  x0 = 10,
  w0 = 0,
  mu = 1,
  sigma = 0.5,
  time = seq(0, by = 0.01, length.out = 101),
  do.plot = TRUE
)

Arguments

x0	the start value of x, with the default value 10
w0	the start value of w, with the default value 0
mu	the interest/drifting rate, with the default value 1.
sigma	the diffusion coefficient, with the default value 0.5.
time	the temporal interval at which the system will be generated. Default seq(0,by=0.01,len=101).
do.plot	a logical value. If TRUE (default value), a plot of the generated system is shown.

Value

A ts object.

References

Yanping Chen, http://cos.name/wp-content/uploads/2008/12/stochastic-differential-equation-with-r.pdf

Examples

set.seed(123)
x <- data.gen.gbm()

synthesis documentation built on Sept. 11, 2024, 6:30 p.m.