Rev Language Reference

dnWhiteNoise - White-Noise Process

White-Noise process for positive real numbers.

Usage

dnWhiteNoise(RealPos mu, RealPos sigma, RealPos time)

Arguments

 mu : RealPos (pass by const reference) The mean of the process. sigma : RealPos (pass by const reference) The standard deviation of the process. time : RealPos (pass by const reference) The time that the process has run.

Details

The white-noise process is a process of a positive continuous variable similar to Brownian motion and the Ornstein-Uhlenbeck process. However, the white-noise process has a large variance when the time is small, and has small variance if the time is large.

Example

# lets simulate
a <- rWhiteNoise(1000,mu=1,sigma=4,time=4)
# we expect a mean of 1
mean(a)

# create a random variable
x ~ dnWhiteNoise(mu=1.0,sigma=4,time=1)
x