sim_OU: Simulate Ornstein-Uhlenbeck process
In TheoMichelot/utilTM: My Utility Functions
sim_OU R Documentation
Simulate Ornstein-Uhlenbeck process
Description
Simulate Ornstein-Uhlenbeck process
Usage
sim_OU(
times,
mu = 0,
beta = 1,
sigma = 1,
tau = NULL,
kappa = NULL,
z0 = mu[1]
)
Arguments
times
Times of observation
mu
Centre of attraction
beta
Reversion parameter
sigma
Diffusion parameter
tau
Time scale of autocorrelation parameter
kappa
Long-term variance parameter
z0
Initial value for simulation (defaults to mu)
Value
Data frame with columns z (simulated process) and time
TheoMichelot/utilTM documentation built on April 14, 2025, 12:52 p.m.
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| sim_OU | R Documentation |
Simulate Ornstein-Uhlenbeck process
Description
Simulate Ornstein-Uhlenbeck process
Usage
sim_OU(
times,
mu = 0,
beta = 1,
sigma = 1,
tau = NULL,
kappa = NULL,
z0 = mu[1]
)
Arguments
times |
Times of observation |
mu |
Centre of attraction |
beta |
Reversion parameter |
sigma |
Diffusion parameter |
tau |
Time scale of autocorrelation parameter |
kappa |
Long-term variance parameter |
z0 |
Initial value for simulation (defaults to mu) |
Value
Data frame with columns z (simulated process) and time
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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