search for: brownian

Displaying 20 results from an estimated 42 matches for "brownian".

2010 Nov 19
2
simple loop problemo (Geo brownian motion)
...x(rep(0,(N+1)*p),nrow=(N+1)) t<- (c(0:N))/N for (j in 1:p) { z <- rnorm(N,0,1) x[1,j] <- 0 y[1,j] <- S0 for (i in 1:N) { x[i+1,j] <- (1/sqrt(N))*sum(z[1:i]) y[i+1,j] <- y[1,j]*exp(nu*t[i+1]+sigma*x[i+1,j]) } plot(t,y,type="l",xlab="time", ylab="Geometric Brownian motion") } Any help would be appreciated, thanks. -- View this message in context: http://r.789695.n4.nabble.com/simple-loop-problemo-Geo-brownian-motion-tp3050762p3050762.html Sent from the R help mailing list archive at Nabble.com.
2009 Apr 03
2
Geometric Brownian Motion Process with Jumps
Hi, I have been using maxLik to do some MLE of Geometric Brownian Motion Process and everything has been going fine, but know I have tried to do it with jumps. I have create a vector of jumps and then added this into my log-likelihood equation, know I am getting a message: NA in the initial gradient My codes is hear # n<-length(combinedlr) j<-c(1,2,3,4,5...
2011 Feb 08
1
Simulation of Multivariate Fractional Gaussian Noise and Fractional Brownian Motion
Dear R Helpers, I have searched for any R package or code for simulating multivariate fractional Brownian motion (mFBM) or multivariate fractional Gaussian noise (mFGN) when a covariance matrix are given. Unfortunately, I could not find such a package or code. Can you suggest any solution for multivariate FBM and FGN simulation? Thank you for your help. Best Regards, Ryan ----- Wonsang You Leibniz I...
2006 Mar 03
1
Fractional brownian surfaces
Hi list, I'm trying to generate fractional brownian surfaces in R. [A detailed description with respect to various techniques to generating these neutral landscapes has been described by Timothy Keitt (spectral representation of neutral landscapes, Landscape Ecology, 2000) and probably various other authours.] Are there any packages that deal with...
2011 Nov 02
1
nproc parameter in efpFunctional
...eaning of parameter nproc? Why different values of nproc give so different critical values, i.e. meanL2BB$computeCritval(0.05,nproc=3) [1] 0.9984853 meanL2BB$computeCritval(0.05,nproc=1) [1] 0.4594827 The strucchange-package description gives "integer specifying for which number of processes Brownian motions should be simulated" - do I need nproc-dimensional Brownian bridge? Thank you in advance! Julia -- View this message in context: http://r.789695.n4.nabble.com/nproc-parameter-in-efpFunctional-tp3972419p3972419.html Sent from the R help mailing list archive at Nabble.com.
2012 Nov 13
2
Discrete trait Ornstein–Uhlenbeck in R?
Is there a package that will allow me to fit Brownian motion and Ornstein?Uhlenbeck models of evolution for discrete traits? I know that geiger and ouch have commands for fitting these models for continuous traits, but these aren't suitable for discrete trait evolution, correct? -- View this message in context: http://r.789695.n4.nabble.com/...
2003 Apr 15
1
Simulation of Stochastic processes
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.
2008 Jun 13
1
R and Browninan Motion/ Langevin Equation package
Hi, I'm writing a short course tutorial to Browninan Motion/ Langevin Equation. At the end of the theory section I wanted to add a short GNU R example, so the students can play a little around. I already looked in the MASS book (by Venables and Ripley) but I couldn't find any Brownian Motion/ Langevin Equation package. Are there any good packages or tutorials available which cover R and Browninan Motion/ Langevin Equation? Thanks Peter -- Jetzt dabei sein: http://www.shortview.de/?mc=sv_ext_mf at gmx
2007 May 31
0
adehabitat version 1.6
...). * Several functions now allow to test the independence of the descriptive parameters in the trajects (indmove and wawotest for dx, dy and dist, testang.ltraj for rel.angle and abs.angle) * Several functions allow to simulate common models of trajects: the correlated random walk (simm.crw), the brownian motion (simm.brown), the arithmetic brownian motion (simm.mba), the Ornstein Uhlenbeck process (simm.mou), the brownian bridge (simm.bb) and the Levy process (simm.levy). * The function explore.kasc() provides a Tk interface for the exploration of a multi-layer raster map of class "kasc"...
2007 May 31
0
adehabitat version 1.6
...). * Several functions now allow to test the independence of the descriptive parameters in the trajects (indmove and wawotest for dx, dy and dist, testang.ltraj for rel.angle and abs.angle) * Several functions allow to simulate common models of trajects: the correlated random walk (simm.crw), the brownian motion (simm.brown), the arithmetic brownian motion (simm.mba), the Ornstein Uhlenbeck process (simm.mou), the brownian bridge (simm.bb) and the Levy process (simm.levy). * The function explore.kasc() provides a Tk interface for the exploration of a multi-layer raster map of class "kasc"...
2007 Jan 10
3
Fractional brownian motion
Dear All; I have used fbmSim to simulate a fbm sequence, however, when I tried to estimate the Hurst effect, none of the nine procedures gave me an answer close enough to the real value, which is 0.5 (n=1000). So, would you please advice, 1. which is the best method to estimate the H among the 9 mehods, R/S, higuchi or Whittle? 2. how to choose the levels (default=50), minnpts, cutoff values or
2007 May 22
3
can I use acts_as_list with a has_many :through association
...gt; :unit_id end In he example below in script/console I load in some previously created activities; make a new unit; and add the activities to the unit. >> activity_crystals = Activity.find_by_name("Molecular crystals") >> activity_browning = Activity.find_by_name("Brownian motion") >> activity_mixing = Activity.find_by_name("Temperature of mixing >>water - TEEMSS demo") >> my_unit = Unit.create(:name => "My First Unit", :description => "A >>simple test unit to see if thenew associations work") >...
2011 Jul 27
2
plotting the ending point in a for loop
Hello, I would appreciate if someone could help me with this query. I would like to plot a line chart of all of the points in a "for" loop. I would also like to plot the final point with a symbol (to show where the random walk ends). Here is the code I am using: Brownian.fn <- function(mu, sigma, T, N){ dt <- T/N t <- c(rep(NA, N)) B1 <- c(rep(NA, N)) B2 <- c(rep(NA, N)) t[1] <- 0 B1[1] <- 0 B2[1] <- 0 for(j in 2:N){ t[j] <- t[j-1] + dt B1[j] <- B1[j-1] + mu*dt + sigma*sqrt(dt)*rnorm(1, mean = 0, sd = 1) B2[j] <-...
2013 May 17
1
Error with adehabitatHR and kernelbb
Dear all, I'm trying to get a Brownian bridge kernel (kernelbb) for each combination of two consecutive animal locations (see commands below) and put them, with a loop, inside a list. It works well at the beginning but after 42 runs, it appears the following warning : >Error in seq.default(yli[1], yli[2], by = diff(xg[1:2])) :  &gt...
2009 Nov 29
2
Time Series Rating Model
...function (refer to dixoncoles97 section 4.5 to 4.7). However I dont know how to fit this stochatical weighted function to the completed bivariate poisson model. I know that some other references for dynamic soccer team rating apply below two methods, while I am not familiar with these method:- 1. Brownian Motions ifs (CRAN package) sde (CRAN package) dvfBm (CRAN package) 2. Kalman Filters FKF (CRAN package) KFAS (CRAN package) Hereby I attach some references. I upload the model in R programming file "model.RData" in my skydrive as well. I will appreciate if prof would sharing you...
2007 Jun 19
1
cash or nothing option
...ram for the evaluation of a cash or nothing option. The option is written on a stock that today has a price of X. Nine months before i will have this situation: If a<X<b the option pays 3 dollars If X<a or X>b the option pays nothing The price of the title is described by a geometric brownian motion, so i need to start a Montecarlo simulation to find the stock price using the gbm, and then using it for the evaluation of the option. Many thanks to anyone. Luca, from Italy. [[alternative HTML version deleted]]
2012 Nov 24
0
Plot of 3d stock price density
...want to recreate the following picture with my own code, the picture can be found in my other post: http://stackoverflow.com/questions/13387119/how-can-i-recreate-this-3d-histogram The picture is about stock price densities, dependent on time and S. So the underlying model is the famous geometric brownian motion, the stock prices are therefore log-normal distributed. With increasing time the mean increases and also the variance, for simulation I always use the discrete version, you can see it here: http://quant.stackexchange.com/questions/4589/how-to-simulate-stock-prices-with-a-geometric-brownian-m...
2006 Sep 16
1
regarding chaos
hi all, I have a simple question that does power spectral analysis related to capacity dimension, information dimension, lyapunov exponent, hurst exponent. If yes then please show me the way. I am newbie in the world of chaos. Sayonara With Smile & With Warm Regards :-) G a u r a v Y a d a v Senior Executive Officer, Economic Research & Surveillance Department, Clearing
2006 Jun 07
1
Fw: Help needed using lattice for area plots lpolygon, xyplot.
...14) #just so we have the same exact graph x <- c(0,cumsum(rnorm(n))) y <- c(0,cumsum(rnorm(n))) xx <- c(0:n, n:0) yy <- c(x, rev(y)) plot(xx, yy, type="n", xlab="Time", ylab="Distance") polygon(xx, yy, col="gray") title("Distance Between Brownian Motions") # using lattice. p1 <- xyplot( yy~xx,type='l'); p2 <- lpolygon(xx,yy,col='blue'); print(p1,position=c(0,0,1,1), more=TRUE); print(p2,position=c(0,0,1,1)); ------------------------------------------------------------ CONFIDENTIALITY NOTICE: This electron...
2001 Mar 23
1
R-demo for non-statisticians/mathematicians
...te for a presentation to non-statistical people? I see a lot of postings from people in other disciplines and I would love to hear what you have to say as well. By the way, I am aware of the demo() function in R and I am absolutely amazed by that, but not everybody in this audience will think the Brownian motion plot is as cool as I do! Many thanks in advance, Ryan Elmore PhD candidate PSU - Dept of Statistics -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help&q...