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Gaussian process in R

  1. Oct 10, 2012 #1
    Hi everybody

    Any ideas how to simulate a Gaussian stationary process in R language using predefined variance and mean?
    I have a uni-variate normal distribution for my real life process
    Thank you
     
  2. jcsd
  3. Oct 10, 2012 #2

    mathman

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    Let X be the uivariate normal. Then Y=σX + m where σ is the standard deviation and m is the mean of the process (Y) that you want to simulate. (I don't know what R language is.)
     
  4. Oct 10, 2012 #3

    chiro

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    Hey MarkJ.

    In R, you should use output = rnorm(n,mean,standard_deviation) to simulate from a normal distribution with n observations given those probabilities (you will get a random vector of size n from this distribution).
     
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