generate_ornstein_uhlenbeck

Generate autoregressive process with errors according the Ornstein-Uhlenbeck
process.

Analyze functional data and its change points. Includes
functionality to store and process data, summarize and validate assumptions,
characterize and perform inference of change points, and provide
visualizations. Data is stored as discretely collected observations without
requiring the selection of basis functions. For more details see chapter 8
of Horvath and Rice (2024) <doi:10.1007/978-3-031-51609-2>. Additional papers
are forthcoming. Focused works are also included in the documentation of
corresponding functions.

Jeremy VanderDoes

fChange

Functional Change Point Detection and Analysis

Gregory Rice

Martin Wendler

generate_ornstein_uhlenbeck function

<dl><dt>N</dt>
<dd>Numeric for the number of observations.</dd>
<dt>v</dt>
<dd>Numeric for resolution of data or a vector specifying the
observation points.</dd>
<dt>rho</dt>
<dd>Numeric which indicates the dependence on the previous
curve.</dd></dl>

Arguments

Generate Data via Ornstein-Uhlenbeck Process — generate_ornstein_uhlenbeck

<dl>

<dt>N</dt>
<dd>Numeric for the number of observations.</dd>


<dt>v</dt>
<dd>Numeric for resolution of data or a vector specifying the
observation points.</dd>


<dt>rho</dt>
<dd>Numeric which indicates the dependence on the previous
curve.</dd>

</dl>

generate_ornstein_uhlenbeck: Generate Data via Ornstein-Uhlenbeck Process

Description

Usage

Value

Arguments

Examples