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r.ou

Ornstein-Uhlenbeck process

Sampling of paths of the Ornstein-Uhlenbeck process.

r.ou(
  n,
  t = seq(0, 1, len = 201),
  mu = 0,
  alpha = 1,
  sigma = 1,
  x0 = rnorm(n, mean = mu, sd = sigma/sqrt(2 * alpha))
)

`n`	number of curves.
`t`	discretization points.
`mu`	mean of the process.
`alpha`	strength of the drift.
`sigma`	diffusion coefficient.
`x0`	a number or a vector of length `n` giving the initial value(s) of the Ornstein-Uhlenbeck process. By default, `n` points are sampled from the stationary distribution.

Functional sample, an fdata object of length n.

Eduardo Garcia-Portugues (edgarcia@est-econ.uc3m.es).

plot(r.ou(n = 100))
plot(r.ou(n = 100, alpha = 2, sigma = 4, x0 = 1:100))

Functional Data Analysis and Utilities for Statistical Computing

v2.0.2

GPL-2

Authors

Manuel Febrero Bande [aut], Manuel Oviedo de la Fuente [aut, cre], Pedro Galeano [ctb], Alicia Nieto [ctb], Eduardo Garcia-Portugues [ctb]

Initial release

2020-02-17