msmornhulen

Generates a Ornstein-Uhlenbeck Multistable Motion

Syntax

MSM = msmornhulen(N,ALPHA,LAMBDA,M,m)
MSM = msmornhulen(...,SEED)

Description

MSM = msmornhulen(N,ALPHA,LAMBDA,M,m) Generates the Ornstein-Uhlenbeck multistable motion, MSM, using a sample size, N, and a stability function, 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. LAMBDA is a positive real and ALPHA is in (0,2). This allows to model a process whose index of stability varies in time.

MSM = msmornhulen(...,SEED) Generates the Ornstein-Uhlenbeck multistable motion, MSM, with a specific random seed, SEED. This is useful to generate the same path several times or to compare the paths of different MSMs.

Examples

See Also

msmlevy, msmlinmfrac, asmornhulen

References

[1] K. Falconer, J. Lévy Véhel "Multifractional, multistable, and other processes with prescribed local form", Journal of Theoretical Probability, Vol. 22 (2009) 375-401

[2] R. Le Guével, J. Lévy Véhel "A Ferguson-Class-LePage series representation of multistable multifractional processes and related processes"