RandomFunction

RandomFunction[proc,{tmin,tmax}]
generates a pseudorandom function from the process proc from to .

RandomFunction[proc,{tmin,tmax,dt}]
generates a pseudorandom function from to in steps of dt.

RandomFunction[proc,, n]
generates an ensemble of n pseudorandom functions.

Details and OptionsDetails and Options

  • RandomFunction returns a TemporalData object that can be used to extract several properties including the paths consisting of time-value pairs .
  • For discrete-time processes such as BinomialProcess or ARMAProcess, the step dt is taken to be .
  • For continuous-time processes with jumps, such as PoissonProcess and QueueingProcess, the step dt is random and given by the process itself.
  • For continuous-time processes without jumps, such as WienerProcess and ItoProcess, an explicit dt needs to be given.
  • RandomFunction gives a different random function whenever you run the Wolfram Language. You can start with a particular seed, using SeedRandom.
  • The following options can be given:
  • MethodAutomaticwhat method to use
    WorkingPrecisionAutomaticprecision used in internal computations
  • With the setting WorkingPrecision->p, random numbers of precision p will be generated.
  • Special settings for Method are documented under the individual random process reference pages.

ExamplesExamplesopen allclose all

Basic Examples  (5)Basic Examples  (5)

Simulate a discrete-time and discrete-state process:

In[1]:=
Click for copyable input
Out[1]=
In[2]:=
Click for copyable input
Out[2]=

Simulate a continuous-time and discrete-state process:

In[1]:=
Click for copyable input
Out[1]=
In[2]:=
Click for copyable input
Out[2]=

Simulate a discrete-time and continuous-state process:

In[1]:=
Click for copyable input
Out[1]=
In[2]:=
Click for copyable input
Out[2]=

Simulate a continuous-time and continuous-state process:

In[1]:=
Click for copyable input
Out[1]=
In[2]:=
Click for copyable input
Out[2]=

Simulate an ensemble of 10 paths:

In[1]:=
Click for copyable input
Out[1]=
In[2]:=
Click for copyable input
Out[2]=
Introduced in 2012
(9.0)