generate_ornstein_uhlenbeck {fChange} | R Documentation |
Generate Data via Ornstein-Uhlenbeck Process
Description
Generate autoregressive process with errors according the Ornstein-Uhlenbeck process.
Usage
generate_ornstein_uhlenbeck(N, v, rho = 0)
Arguments
N |
Numeric for the number of observations. |
v |
Numeric for resolution of data or a vector specifying the observation points. |
rho |
Numeric which indicates the dependence on the previous curve. |
Value
A dfts object for the generated data.
Examples
generate_ornstein_uhlenbeck(N = 100, v = 20)
[Package fChange version 2.1.0 Index]