Brownian Motion with R
We can use the animation package to produce animations in R.
This short article shows you how to create a Brownian motion with the brownian.motion()
function.
Simply speaking, a Brownian motion shows the trace of the coordinates
where $\epsilon_i$ is i.i.d from a standard Normal distribution. That is fairly easy to program in
R – it is nothing but cumsum(rnorm(n))
, and that is what brownian.motion()
does internally.
library(animation)
ani.options(nmax = 50) # create 50 image frames
set.seed(20121106)
brownian.motion(n = 20, pch = 21, cex = 4, col = "magenta", bg = "cyan",
xlim = c(-10, 10), ylim = c(-15, 15))
Done.
References
This article was reproduced form vistat.
Published
06 November 2012