ajdmom.mdl_1fsvj.euler.r1FSVJ

ajdmom.mdl_1fsvj.euler.r1FSVJ(v0, par, N, n_segment=10, h=1)[source]

Generate samples from mdl_1fsvj by Euler approximation

Parameters:

  • v0 (float) – value of the initial variance \(v(0) > 0\).

  • par (dict) – parameters in a dict.

  • N (int) – target length of samples to generate.

  • n_segment (int) – number of segments each interval is split into.

  • h (float) – time interval between any two consecutive samples.

Returns:

a sequence of samples.

Return type:

numpy 1-D array.