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stoch-utils

Utility functions for probability theory

Description

This repo contains utility functions for stochastic simulations in R. Currently implemented are

  • Wiener process
  • Brownian drift
  • Ornstein-Uhlenbeck
  • Constant rate Poisson point process

Future Work

Methods that will be implemented in the future:

  • Drawing samples from distributions based on their pdfs (using rejection sampling)
  • Varying rate Poisson point processes
  • Thinning of point processes
  • Basic noise models (all colors)
  • Subordinators

Authors

Niklas Hohmann
Utrecht University
email: n.h.hohmann [at] uu.nl
Web page: www.uu.nl/staff/NHohmann
ORCID: 0000-0003-1559-1838

Copyright

Copyright 2023 Netherlands eScience Center and Utrecht University

License

Apache 2.0 License, see LICENSE file for license text.

Funding information

Funded by the European Union (ERC, MindTheGap, StG project no 101041077). Views and opinions expressed are however those of the author(s) only and do not necessarily reflect those of the European Union or the European Research Council. Neither the European Union nor the granting authority can be held responsible for them. European Union and European Research Council logos

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Utility functions for probability theory

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