Description Usage Format Details Author(s) References Examples
The dataset contains discretely sampled observations for a simulated stochastic differential equation (SDE) with dynamics:
dX_t = 2(5+3sin(0.25pi t)-X_t)dt+0.5sqrt(X_t)dW_t
where dW_t
is standard Brownian motion, t
is time and X_0 = 7
.
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A data frame with 401 observations with the following variables:
Xt
: A numeric vector of simulated observations.
time
: A numeric vector of time nodes at which Xt
was observed (time[i+1]-time[i] = 1/4
).
The process was simulated by numerically solving the SDE using a Euler-Maruyama scheme with stepsize = 1/2000. Subsequently each 200-th observation was recorded in order to construct the resulting time series.
Etienne A.D. Pienaar: etiannead@gmail.com
Updates available on GitHub at https://github.com/eta21.
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