Generate Data via Ornstein-Uhlenbeck Process

Generate autoregressive process with errors according the Ornstein-Uhlenbeck process.

Usage

generate_ornstein_uhlenbeck(N, v, rho = 0)

Arguments

N

Numeric for the number of observations.

v

Numeric for resolution of data or a vector specifying the observation points.

rho

Numeric which indicates the dependence on the previous curve.

Value

A dfts object for the generated data.

Examples

generate_ornstein_uhlenbeck(N = 100, v = 20)
#> data 
#> dimension: 20 x 100
#> season: 1
#> fparam (20): 0 0.05263158 0.1052632 0.1578947 0.2105263 0.2631579 ... 
#> labels (100): X1 X2 X3 X4 X5 X6 ... 
#> 
#> Example data
#>           [,1]      [,2]       [,3]      [,4]       [,5]      [,6]
#> [1,] -2.370460 0.2215290 -0.5973448 1.2298624  0.2017750 0.8360647
#> [2,] -2.091692 0.5236470 -0.4201732 1.0398184  0.2874389 0.6858487
#> [3,] -1.832893 0.4546898 -0.4274378 1.0216627 -0.0638495 0.5702417
#> [4,] -1.715278 0.4886855 -0.4539968 0.8409670 -0.3984301 0.3421836
#> [5,] -1.699688 0.6232524 -0.9557342 0.7243774 -0.4294494 0.4362481
#> [6,] -1.612456 0.5540412 -0.7761818 0.7463127 -0.2556624 0.5390225