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]