Process transformation¶
The objective here is to create a process as the image through a field function of another process :
General case¶
In the general case, is a multivariate stochastic process of dimension where , a multivariate stochastic process of dimension where and and is defined in (1).
We build the composite process thanks to function and the process .
The library proposes two kinds of field function: the value functions defined in (2) and the vertex-value functions defined in (3).
Trend modifications¶
Very often, we have to remove a trend from a process or to add it. If we note the function modelling a trend, then the field function which consists in adding the trend to a process is the vertex-value function defined by:
(1)¶
The library enables to directly convert the function into the vertex-value function thanks to the TrendTransform object which maps into the vertex-value function .
Then, the process is built with the object CompositeProcess from the data: and the process such that:
Box Cox transformation¶
If the transformation of the process into corresponds to the Box Cox transformation which transforms into a process with stabilized variance, then the corresponding field function is the value function defined by:
(2)¶
The library enables to directly convert the function into the value function thanks to the ValueFunction object. Then, the process is built with the object CompositeProcess from the data: and the process such that: