fda.usc (version 1.5.0)

r.ou: Ornstein-Uhlenbeck process

Description

Sampling of paths of the Ornstein-Uhlenbeck process.

Usage

r.ou(n, t = seq(0, 1, len = 201), mu = 0, alpha = 1, sigma = 1,
  x0 = rnorm(n, mean = mu, sd = sigma/sqrt(2 * alpha)))

Arguments

n

number of curves.

t

discretization points.

mu

mean of the process.

alpha

strength of the drift.

sigma

diffusion coefficient.

x0

a number or a vector of length n giving the initial value(s) of the Ornstein-Uhlenbeck process. By default, n points are sampled from the stationary distribution.

Value

Functional sample, an fdata object of length n.

Examples

# NOT RUN {
plot(r.ou(n = 100))
plot(r.ou(n = 100, alpha = 2, sigma = 4, x0 = 1:100))
# }