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stochcorr (version 0.0.1)

dcbm: Probability transition density function for Circular Brownian Motion

Description

dcbm evaluates the transition density for Circular Brownian Motion

Usage

dcbm(theta, t, theta_0, sigma)

Value

dcbm gives the transition density function of the circular Brownian motion

Arguments

theta

vector of data

t

time step \(\Delta t\)

theta_0

initial value

sigma

sigma

Details

See section 2 of Majumdar and Laha (2024) doi:10.48550/arXiv.2412.06343.