rtraj.cbm {stochcorr} | R Documentation |
Simulate circular Brownian motion
Description
rtraj.cbm
returns a simulated path of a circular Brownian motion for given parameters
Usage
rtraj.cbm(n, theta_0, dt, sigma, burnin=1000)
Arguments
n |
number of steps in the simulated path |
theta_0 |
initial point |
dt |
Time step |
sigma |
volatility parameter |
burnin |
number of initial samples to be rejected (Default is 1000) |
Details
Let \theta_t
evolve according to a circular Brownian motion given by,
d\theta_t=\sigma dW_t
We simulate \theta_t
by simulating from its transition density.
Value
A vector of length n
of the simulated path from circular Brownian motion
[Package stochcorr version 0.0.1 Index]