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]