R Graphical Manual

Last data update: 2014.03.03

R: Generate a time series based on stochastic processes

process

R Documentation

Generate a time series based on stochastic processes

A collection of functions to produce time series using stochastic processes.

ou.process(theta, mu = 0, sigma = 1, initial=mu, end = Sys.Date(), start = NULL, obs = NULL)

`theta`	Rate of dissipation
`mu`	Mean
`sigma`	Volatility
`initial`	Initial value
`end`	The end date
`start`	The starting date
`obs`	Number of observations to produce

The 'ou.process' function generates a mean-reverting time series according to the Ornstein-Uhlenbeck process.

An xts object containing a time series of values representing asset prices whose evolution is defined by the given process.

Brian Lee Yung Rowe

series <- ou.process(1, 1.2, 0.3, obs=50)