update packages

[CreaPhase.git] / octave_packages / m / statistics / distributions / wienrnd.m

diff --git a/octave_packages/m/statistics/distributions/wienrnd.m b/octave_packages/m/statistics/distributions/wienrnd.m
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+## Copyright (C) 1995-2012 Friedrich Leisch
+##
+## This file is part of Octave.
+##
+## Octave is free software; you can redistribute it and/or modify it
+## under the terms of the GNU General Public License as published by
+## the Free Software Foundation; either version 3 of the License, or (at
+## your option) any later version.
+##
+## Octave is distributed in the hope that it will be useful, but
+## WITHOUT ANY WARRANTY; without even the implied warranty of
+## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
+## General Public License for more details.
+##
+## You should have received a copy of the GNU General Public License
+## along with Octave; see the file COPYING.  If not, see
+## <http://www.gnu.org/licenses/>.
+
+## -*- texinfo -*-
+## @deftypefn {Function File} {} wienrnd (@var{t}, @var{d}, @var{n})
+## Return a simulated realization of the @var{d}-dimensional Wiener Process
+## on the interval [0, @var{t}].  If @var{d} is omitted, @var{d} = 1 is
+## used.  The first column of the return matrix contains time, the
+## remaining columns contain the Wiener process.
+##
+## The optional parameter @var{n} gives the number of summands used for
+## simulating the process over an interval of length 1.  If @var{n} is
+## omitted, @var{n} = 1000 is used.
+## @end deftypefn
+
+## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at>
+## Description: Simulate a Wiener process
+
+function retval = wienrnd (t, d, n)
+
+  if (nargin == 1)
+    d = 1;
+    n = 1000;
+  elseif (nargin == 2)
+    n = 1000;
+  elseif (nargin > 3)
+    print_usage ();
+  endif
+
+  if (!isscalar (t) || !isscalar (d) || !isscalar (n))
+    error ("wienrnd: T, D and N must all be positive integers");
+  endif
+
+  retval = randn (n * t, d);
+  retval = cumsum (retval) / sqrt (n);
+
+  retval = [((1: n*t)' / n), retval];
+
+endfunction