ou_noise

A collection of functions for simulation and parameter estimation of Ornstein-Uhlenbeck processes.

Installation

Clone the repository and install the package with pip install .

Or

   pip install git+https://github.com/jwergieluk/ou_noise.git

Usage

The following IPython session demonstrates the package usage.

from ou_noise import ou
import numpy
import matplotlib.pyplot as plt
%matplotlib

t = numpy.arange(0, 100, 0.01)
# simulate a path of the OU process on a given grid t, starting with x_0 = 0.8
x = ou.path(0.8, t, 2.0, 0.5, 0.05)                                           
plt.plot(t,x)

params = ou.mle(t, x)
print(params)

# Output: [2.09360033 0.49863601 0.04992896]

The plot generated by the above script:

License

ou_noise is released under the GNU GENERAL PUBLIC LICENSE Version 3. See LICENSE file for details.

Copyright (c) 2016--2019 Julian Wergieluk