Mercurial > octave-nkf
view scripts/statistics/distributions/wiener_rnd.m @ 3238:041ea33fbbf4
[project @ 1999-03-26 17:48:16 by jwe]
author | jwe |
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date | Fri, 26 Mar 1999 17:48:35 +0000 |
parents | e4f4b2d26ee9 |
children | f8dde1807dee |
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## Copyright (C) 1995, 1996, 1997 Friedrich Leisch ## ## This program is free software; you can redistribute it and/or modify ## it under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 2, or (at your option) ## any later version. ## ## This program is distributed in the hope that it will be useful, but ## WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU ## General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with this file. If not, write to the Free Software Foundation, ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. ## usage: wiener_rnd (t [, d [,n]]) ## ## Returns a simulated realization of the d-dimensional Wiener Process ## on the interval [0,t]. If d is omitted, d=1 is used. The first ## column of the return matrix contains time, the remaining columns ## contain the Wiener process. ## ## The optional parameter n gives the number of summands used for ## simulating the process over an interval of length 1. If n is ## omitted, n=1000 is used. ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> ## Description: Simulate a Wiener process function retval = wiener_rnd (t, d, n) if (nargin == 1) d = 1; n = 1000; elseif (nargin == 2) n = 1000; elseif (nargin > 3) usage ("wiener_rnd (t [, d [,n]])"); endif retval = randn (n * t, d); retval = cumsum (retval) / sqrt (n); retval = [((1: n*t)' / n), retval]; endfunction