wiener_rnd.m

GNU Octave is a high-level language, primarily intended for numerical computations. It provides a c

## Copyright (C) 1995, 1996, 1997  Friedrich Leisch
## 
## This program is free software; you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation; either version 2, or (at your option)
## any later version.
## 
## This program is distributed in the hope that it will be useful, but
## WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
## General Public License for more details. 
## 
## You should have received a copy of the GNU General Public License
## along with this file.  If not, write to the Free Software Foundation,
## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.

## usage:  wiener_rnd (t [, d [,n]])
##
## Returns a simulated realization of the d-dimensional Wiener Process
## on the interval [0,t].  If d is omitted, d=1 is used. The first
## column of the return matrix contains time, the remaining columns
## contain the Wiener process.
##
## The optional parameter n gives the number of summands used for
## simulating the process over an interval of length 1.  If n is
## omitted, n=1000 is used.

## Author:  FL <[e-mail]>
## Description:  Simulate a Wiener process

function retval = wiener_rnd (t, d, n)

  if (nargin == 1)
    d = 1;
    n = 1000;
  elseif (nargin == 2)
    n = 1000;
  elseif (nargin > 3)
    usage ("wiener_rnd (t [, d [,n]])");
  endif

  retval = randn (n * t, d);
  retval = cumsum (retval) / sqrt (n);

  retval = [((1: n*t)' / n), retval];
endfunction