Rev Language Reference
dnWhiteNoise - White-Noise Process
White-Noise process for positive real numbers.
Usage
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. |
Domain Type
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
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