simulateDiscreteOU: Functions for simulating Ornstein-Uhlenbeck processes and...
In laduplessis/bdskytools: BDSKY Tools
Description
Usage
Arguments
Details
Description
Simulate OU trajectory using the Euler-Maruyama method (inaccurate)
Usage
1
simulateDiscreteOU(x0, t, mu, sigma, nu)
Arguments
x0
Initial value of the process
t
Vector of time points to evaluate the trajectory at
mu
Mean
sigma
Standard deviation
nu
Decay rate
Details
Function assumes equidistant time intervals
laduplessis/bdskytools documentation built on May 20, 2019, 7:33 p.m.
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Description Usage Arguments Details
Description
Simulate OU trajectory using the Euler-Maruyama method (inaccurate)
Usage
1 | simulateDiscreteOU(x0, t, mu, sigma, nu)
|
Arguments
x0 |
Initial value of the process |
t |
Vector of time points to evaluate the trajectory at |
mu |
Mean |
sigma |
Standard deviation |
nu |
Decay rate |
Details
Function assumes equidistant time intervals
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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