dgp.ou {FTSgof} | R Documentation |
Ornstein–Uhlenbeck Process Generator
Description
It generates iid functional curve data following the Ornstein–Uhlenbeck process.
Usage
dgp.ou(J, N)
Arguments
J |
The number of grid points in each curve observation. |
N |
The sample size. |
Details
The Ornstein–Uhlenbeck process is given by:
x_i(t)=e^{-t/2}W_i(e^t)
, t \in [0,1]
,
where W_i(t)
is a standard Brownian Motion.
Value
A (grid points) x (number of observations) matrix for iid sequences, where the finite realization of curves are stored in columns.
Examples
# Generate discrete evaluations of 100 iid curves
# that each curve is realized on 50 grid points.
yd_ou = dgp.ou(J = 50, N = 100)
[Package FTSgof version 1.0.0 Index]