Hi,
I would like to create M paths of 2 correlated brownian motion incrementals
where each path is of length N. I use mvrnorm to create all the increments,
i.e.
h <- 1.0;
COV <- matrix(c(1,0,0,1),nrow=2);
dW <- h * t(mvrnorm(n=N*M,mu=c(0,0),Sigma=COV));
The next step is that I'd like to wrap dW (2D matrix of size 2x(NM) into a
3D array where each slice is 2xN matrix and the entire array consists of M
slices. Just wondering if there is any way to do that? Or is there a better
way than the way I am describing? Thank you.
Roebert
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