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[project @ 2007-10-12 21:27:11 by jwe]
author jwe
date Fri, 12 Oct 2007 21:27:37 +0000
parents 93c65f2a5668
children 1bf0ce0930be
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1 ## Copyright (C) 1995, 1996, 1997, 2005, 2006, 2007 Friedrich Leisch
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2 ##
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3 ## This file is part of Octave.
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4 ##
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5 ## Octave is free software; you can redistribute it and/or modify it
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6 ## under the terms of the GNU General Public License as published by
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7 ## the Free Software Foundation; either version 3 of the License, or (at
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8 ## your option) any later version.
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9 ##
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10 ## Octave is distributed in the hope that it will be useful, but
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11 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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13 ## General Public License for more details.
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14 ##
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15 ## You should have received a copy of the GNU General Public License
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16 ## along with Octave; see the file COPYING. If not, see
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17 ## <http://www.gnu.org/licenses/>.
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18
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19 ## -*- texinfo -*-
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20 ## @deftypefn {Function File} {} wienrnd (@var{t}, @var{d}, @var{n})
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21 ## Return a simulated realization of the @var{d}-dimensional Wiener Process
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22 ## on the interval [0, @var{t}]. If @var{d} is omitted, @var{d} = 1 is
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23 ## used. The first column of the return matrix contains time, the
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24 ## remaining columns contain the Wiener process.
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25 ##
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26 ## The optional parameter @var{n} gives the number of summands used for
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27 ## simulating the process over an interval of length 1. If @var{n} is
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28 ## omitted, @var{n} = 1000 is used.
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29 ## @end deftypefn
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30
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31 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at>
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32 ## Description: Simulate a Wiener process
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33
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34 function retval = wienrnd (t, d, n)
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35
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36 if (nargin == 1)
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37 d = 1;
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38 n = 1000;
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39 elseif (nargin == 2)
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40 n = 1000;
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41 elseif (nargin > 3)
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42 print_usage ();
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43 endif
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44
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45 if (!isscalar (t) || !isscalar (d) || !isscalar (n))
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46 error ("wienrnd: t, d and n must all be positive integers");
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47 endif
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48
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49 retval = randn (n * t, d);
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50 retval = cumsum (retval) / sqrt (n);
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51
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52 retval = [((1: n*t)' / n), retval];
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53
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54 endfunction