simul.wiener | R Documentation |
Simulation of Wiener processes.
simul.wiener(m=64, n=1, m2=NULL)
m |
Integer. Number of discretization points. |
n |
Integer. Number of observations. |
m2 |
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.
The option 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.
A fdata
object containing one variable ("var") which is a Wiener
process of length n
with m
discretization points.
J. Damon
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.
simul.far.sde
, simul.far.wiener
,
simul.farx
, simul.far
.
noise <- simul.wiener(m=64,n=100,m2=512)
summary(noise)
par(mfrow=c(2,1))
plot(noise,date=1)
plot(select.fdata(noise,date=1:5),whole=TRUE,separator=TRUE)
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