6.11.2.3.2. statsmodels.sandbox.tsa.diffusion.ArithmeticBrownian¶
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class
statsmodels.sandbox.tsa.diffusion.
ArithmeticBrownian
(xzero, mu, sigma)[source]¶ :math:: dx_t &= mu dt + sigma dW_t
6.11.2.3.2.1. Methods¶
__init__ (xzero, mu, sigma) |
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exactdist (xzero, t) |
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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]) |
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simEM ([xzero, nobs, T, dt, nrepl, Tratio]) |
from Higham 2001 |
simulateW ([nobs, T, dt, nrepl]) |
generate sample of Wiener Process |