Generalized Wiener process
id:
generalized-wiener-process-284-12758853
title:
Generalized Wiener process
text:
In statistics, a generalized Wiener process is a continuous time random walk with drift and random jumps at every point in time. Formally: where a and b are deterministic functions, t is a continuous index for time, x is a set of exogenous variables that may change with time, dt is a differential in time, and η is a random draw from a standard normal distribution at each instant.
brand slug:
wiki
category slug:
encyclopedia
description:
original url:
https://en.wikipedia.org/wiki/Generalized_Wiener_process
date created:
date modified:
2016-12-06T20:39:48Z
main entity:
{"identifier":"Q5532459","url":"https://www.wikidata.org/entity/Q5532459"}
image:
fields total:
13
integrity:
13