gen_wn {simts} | R Documentation |
Generate a Gaussian White Noise Process (WN(\sigma ^2
))
Description
Simulates a Gaussian White Noise Process with variance parameter \sigma ^2
.
Usage
gen_wn(N, sigma2 = 1)
Arguments
N |
An |
sigma2 |
A |
Value
wn A vec
containing the white noise.
Process Definition
Gaussian White Noise (WN) with parameter \sigma^2 \in {\rm I\!R}^{+}
.
This process is defined as X_t\sim N(0,\sigma^2)
and
is sometimes referred to as Angle (Velocity) Random Walk.
Generation Algorithm
To generate the Gaussian White Noise (WN) process, we first obtain the
standard deviation from the variance by taking a square root. Then, we
sample N
times from a N(0,\sigma ^2)
distribution.
[Package simts version 0.2.2 Index]