similar to: Fractional brownian surfaces

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

I would like to plot multiple random walks onto the same graph. My p variable dictates how may random walks there will be. par(mfrow=c(1,1)) p <- 100 N <- 1000 S0 <- 10 mu <- 0.03 sigma <- 0.2 nu <- mu-sigma^2/2 x <- matrix(rep(0,(N+1)*p),nrow=(N+1)) y <- matrix(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]

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(1,2,3,4,5,6,7,8,9,10)

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

Hello all, could anyone explain the exact meaning 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

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:

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.

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

I''d like to be able to use a has_many :through association and treat the associations as a list but I''m getting this error when I try an use an acts_as_list method: NoMethodError: undefined method `move_to_bottom'' I''m using edge rails r6786. Here are my domain rules: Activities are things students can do. Units consists of a sequenced list of

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,

To R programming experts, I am a undergraduate student, and now doing research personally. I apply diagonal bivariate poisson (R package "bivpois") with stochatics weighted 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

Hi, i need help building a program 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

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])) :  >  invalid (to - from)/by in seq(.) I looked at the

I am trying to learn how to use the graphics from the lattice package ( and am very new to R). I am trying to replicate the example plot referenced below, by using the lattice xyplot & lpolygon to create panels. I get what appears to be the correct shape of the filled region, but cannot get the position to overlay properly. I have attempted with various settings of position. ( i.e.

Hi all. A friend of mine asked me to assist with an R presentation to the Penn State LUG in a few weeks. The audience will be predominately computer scientists and/or engineers (I suspect) and they are just looking for presentations of good open source software and my friend volunteered R. We are both relatively new to R, so I thought it would be best to ask the list for your opinion....what do

Dear all, I know that my question is somewhat special but I tried several times to solve the problems on my own but I am unfortunately not able to compute the following test statistic using the quantreg package. Well, here we go, I appreciate every little comment or help as I really do not know how to tell R what I want it to do^^ My situation is as follows: I have a data set containing a

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

Hello, I have a problem that I think can be solved in R but I'm not sure how to tie things together. I have a digital image of a crystal growth in 2 dimensions. And my aim is to calculate the fractal dimension of the crystal. I was planning to use the box counting method. So I need to read in the image in R (for which I can use the pixmap or rimage packages) and then draw a grid over at a

Dear all, I have just uploaded to CRAN the version 1.6 of the package 'adehabitat'. Significant changes are listed below: * The package has been reorganized into four parts (see ?adehabitat-package for a description): (i) management of raster maps, (ii) habitat selection / ecological niche analysis, (iii) home range analysis, and (iv) analysis of animals trajects. The package contains

Dear all, I have just uploaded to CRAN the version 1.6 of the package 'adehabitat'. Significant changes are listed below: * The package has been reorganized into four parts (see ?adehabitat-package for a description): (i) management of raster maps, (ii) habitat selection / ecological niche analysis, (iii) home range analysis, and (iv) analysis of animals trajects. The package contains