asmornhulen

Generates an Alpha-Stable Ornstein-Uhlenbeck Process

Syntax

ASM = asmornhulen(N,ALPHA,LAMBDA,M,m)
ASM = asmornhulen(...,SEED)

Description

ASM = asmornhulen(N,ALPHA,LAMBDA,M,m) Generates the alpha-stable Ornstein-Uhlenbeck process, ASM, using a sample size, N, a stability parameter, ALPHA, an Ornstein-Uhlenbeck parameter, LAMBDA, a kernel cut-off parameter, M and a number of discretization steps, m. The parameters N,M and m are positive integers and this triplet should be chosen so that the value m*(N+M) is a power of 2. ALPHA is a real in (0,2) and LAMBDA is a positive real.

ASM = asmornhulen(...,SEED) Generates the alpha-stable Ornstein-Uhlenbeck process, ASM, with a specific random seed, SEED. This is useful to generate the same path several times or to compare the paths of different ASMs.

Examples

See Also

asmlevy, asmlinfrac, msmornhulen

References

[1] K. Falconer, R. Le Guével, J. Lévy Véhel "Localisable moving average stable and multistable processes", Stochastic Models.