6.11.2.3.2. statsmodels.sandbox.tsa.diffusion.ArithmeticBrownian

class statsmodels.sandbox.tsa.diffusion.ArithmeticBrownian(xzero, mu, sigma)[source]

:math:: dx_t &= mu dt + sigma dW_t

__init__(xzero, mu, sigma)[source]

6.11.2.3.2.1. Methods

__init__(xzero, mu, sigma)
exactdist(xzero, t)
exactprocess(nobs[, xzero, ddt, nrepl]) ddt : discrete delta t
expectedsim(func[, nobs, T, dt, nrepl]) get expectation of a function of a Wiener Process by simulation
sim([nobs, T, dt, nrepl])
simEM([xzero, nobs, T, dt, nrepl, Tratio]) from Higham 2001
simulateW([nobs, T, dt, nrepl]) generate sample of Wiener Process