Re: [R] Simulation of Stochastic processes

From: Achim Zeileis (zeileis@ci.tuwien.ac.at)
Date: Wed 16 Apr 2003 - 01:32:10 EST

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Message-id: <Pine.LNX.3.96.1030415173035.28784B-100000@thorin.ci.tuwien.ac.at>

On Tue, 15 Apr 2003, Ravi Varadhan wrote:

> Hi:
>
> I was wondering whether I can find some help for computer simulation of
> stochastic processes (e.g. Brownian motion), for
> pedagogicl/instructional purposes. Any help would be appreciated.

You could have a look at the function rwiener and rbridge in the package
e1071. To simulate a Brownian motion you could do

R> x <- rwiener()
R> plot(x)

hth,
Z

 
> thanks,
> Ravi.
>
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