simul.wiener {far} | R Documentation |
Wiener process simulation
Description
Simulation of Wiener processes.
Usage
simul.wiener(m=64, n=1, m2=NULL)
Arguments
m |
Integer. Number of discretization points. |
n |
Integer. Number of observations. |
m2 |
Integer. Length of the Karhunen-Loève expansion (2 |
Details
This function use the known Karhunen-Loève expansion of Wiener processes to simulate observations of such a process.
The option m2
is internally used to set the length of the
expansion. This expansion need to be larger than the number of
discretization points, but a too important value may slow down the
generation. The default value as been chosen as a compromise.
Value
A fdata
object containing one variable ("var") which is a Wiener
process of length n
with m
discretization points.
Author(s)
J. Damon
References
Pumo, B. (1992). Estimation et Prévision de Processus Autoregressifs Fonctionnels. Applications aux Processus à Temps Continu. PhD Thesis, University Paris 6, Pierre et Marie Curie.
See Also
simul.far.sde
, simul.far.wiener
,
simul.farx
, simul.far
.
Examples
noise <- simul.wiener(m=64,n=100,m2=512)
summary(noise)
par(mfrow=c(2,1))
plot(noise,date=1)
plot(select.fdata(noise,date=1:5),whole=TRUE,separator=TRUE)