Expand description
Random processes: Brownian motion, Poisson processes, Markov chains, continuous-time Markov chains, Lévy processes, and SDE solvers.
Structs§
- Brownian
Motion - Parameters and generators for Brownian motion processes.
- Continuous
Time Markov - Continuous-time Markov chain with infinitesimal generator matrix Q.
- Levy
Process - Lévy process generators: alpha-stable, variance gamma, CGMY.
- Markov
Chain - Discrete-time finite Markov chain with transition matrix P.
- Poisson
Process - Homogeneous and inhomogeneous Poisson process generators.
- Stochastic
Differential Equation - SDE solver for dX = mu(X,t)dt + sigma(X,t)dW.
Functions§
- autocorrelation
- Compute the empirical autocorrelation at lag k.
- periodogram
- Compute the empirical power spectral density via periodogram.
- sample_
mean - Compute the sample mean of a slice.
- sample_
variance - Compute the sample variance of a slice.