pvar (version 1.0.6)

ProcessGenerators: Random process generators

Description

Generate a trajectory of random processes.

Usage

rwiener(end = 1, frequency = 1000)

rbridge(end = 1, frequency = 1000)

Arguments

end

a number. The end point of the process in the 'time' scale.

frequency

a number specifying the size of trajectory vector. The trajectory will start at point 0 and will have frequency more observations. The length of the results will be frequency+1 .

Value

• A numerics vector of the length frequency+1.

Details

rwiener generate Wiener process via partial sums process. rbridge generate Brownian bridge via rwiener.

Examples

x = rwiener(1, 10000)
plot(x, type="l")

x = rbridge(1, 10000)
plot(x, type="l")