Hi: I was wondering whether I can find some help for computer simulation of stochastic processes (e.g. Brownian motion), for pedagogicl/instructional purposes. Any help would be appreciated. thanks, Ravi.
Simulation of Stochastic processes
2 messages · Ravi Varadhan, Achim Zeileis
On Tue, 15 Apr 2003, Ravi Varadhan wrote:
Hi: I was wondering whether I can find some help for computer simulation of stochastic processes (e.g. Brownian motion), for pedagogicl/instructional purposes. Any help would be appreciated.
You could have a look at the function rwiener and rbridge in the package e1071. To simulate a Brownian motion you could do R> x <- rwiener() R> plot(x) hth, Z
thanks, Ravi.
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