ou: Ornstein-Uhlenbeck process
In zatonovo/fractalrock: Generate fractal time series with non-normal returns distribution
Description
Ornstein-Uhlenbeck process
Arguments
n
Number of samples to generate
s
Initial value
lambda
The shock, in annualized terms
mu
The mean-reverting value
sigma
The annualized standard deviation of the noise term
zatonovo/fractalrock documentation built on May 15, 2021, 7:28 p.m.
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Description
Ornstein-Uhlenbeck process
Arguments
n |
Number of samples to generate |
s |
Initial value |
lambda |
The shock, in annualized terms |
mu |
The mean-reverting value |
sigma |
The annualized standard deviation of the noise term |
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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