matlab集成c代码-shotnoise:R包,用于精确模拟非负散粒噪声过程和Lévy驱动的非高斯Ornstein-Uhlenbeck(OU

上传者: 38560502 | 上传时间: 2021-08-23 17:13:02 | 文件大小: 92KB | 文件类型: ZIP
Matlab集成的c代码散粒噪声 R套件,用于精确模拟非负散粒噪声过程(具有伯努利,泊松,伽玛和高斯分布逆跳)和非高斯OU过程,也称为Lévy驱动的OU过程(特别是OU-Poisson,论文中的OU-Gamma和OU逆高斯(OU-IG)过程) [1] M. Tamborrino,P。Lansky,散粒噪声,弱收敛和扩散近似,Physica D,418,132845,2021, 该代码由Rcpp中的Massimiliano Tamborrino(warwick.ac.uk上的名字点secondname)编写。 Yan Qu为基于论文的OU-Gamma和OU-IG过程提供了Matlab代码,用于精确模拟OU-Gamma和OU-IG过程 [2] Y. Qu,A。Dassios,H。Zhao,伽马驱动的Ornstein–Uhlenbeck过程具有有限和无限活动跃迁的精确模拟,J。Oper。 Res。 Soc。,471--484,2019,。 [3] Y. Qu,A. Dassios,H. Zhao,Ornstein–Uhlenbeck回火稳定过程的精确模拟,J. Appl。Chem。,117,

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