wienrnd.m

similer program for matlab

## Copyright (C) 1995, 1996, 1997, 2005, 2006, 2007 Friedrich Leisch
##
## This file is part of Octave.
##
## Octave 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 3 of the License, or (at
## your option) any later version.
##
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## 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 Octave; see the file COPYING.  If not, see
## <http://www.gnu.org/licenses/>.

## -*- texinfo -*-
## @deftypefn {Function File} {} wienrnd (@var{t}, @var{d}, @var{n})
## Return a simulated realization of the @var{d}-dimensional Wiener Process
## on the interval [0, @var{t}].  If @var{d} is omitted, @var{d} = 1 is
## used. The first column of the return matrix contains time, the
## remaining columns contain the Wiener process.
##
## The optional parameter @var{n} gives the number of summands used for
## simulating the process over an interval of length 1.  If @var{n} is
## omitted, @var{n} = 1000 is used.
## @end deftypefn

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

function retval = wienrnd (t, d, n)

  if (nargin == 1)
    d = 1;
    n = 1000;
  elseif (nargin == 2)
    n = 1000;
  elseif (nargin > 3)
    print_usage ();
  endif

  if (!isscalar (t) || !isscalar (d) || !isscalar (n))
    error ("wienrnd: t, d and n must all be positive integers");
  endif

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

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

endfunction