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## 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 <Friedrich.Leisch@ci.tuwien.ac.at>
## 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
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