rtraj.vmp {stochcorr} | R Documentation |
Simulate von Mises process
Description
rtraj.vmp
returns a simulated path of a von Mises process for given parameters
Usage
rtraj.vmp(n, theta_0, dt, mu, lambda, sigma)
Arguments
n |
number of steps in the simulated path |
theta_0 |
initial point |
dt |
Time step |
mu |
mean parameter |
lambda |
drift parameter |
sigma |
volatility parameter |
Details
Let \theta_t
evolve according to a von Mises process given by,
d\theta_t=-\lambda\sin(\theta_t-\mu)dt+\sigma dW_t
We simulate \theta_t
by the Euler-Maruyama discretization of the above SDE.
Value
A vector of length n
of the simulated path from von Mises process
[Package stochcorr version 0.0.1 Index]