How to simulate diffusion process with certain line pattern?!

[hellohere]

I have the time-series information, [time=ind, y=index]. Dataset attached.

How to similuate diffusiton process with the y/index pattern[any para is fine as long as diffusion]?

Thanks

[sbxkoenk]

I don't think SAS has diffusion models as a standard feature of the (econometrics part of the) software.

Diffusion models are used for time series forecasting ... mainly when the time series (before forecasting) is short.

You can estimate "Jump Diffusion" though:
https://support.sas.com/resources/papers/proceedings20/5079-2020.pdf

Not sure why you have asked this question in the "Operations Research / Management Science" - board , and not in the "econometrics / forecasting" - board.

Ciao,

Koen

[sbxkoenk]

A Wiener process (or Weiner process) is a special case of a diffusion process. 

Here's how you simulate a Wiener process : 
https://communities.sas.com/t5/SAS-IML-Software-and-Matrix/How-to-simulate-a-Weiner-process-in-SAS/t...

Ciao,

Koen

[hellohere]

Ok. I Post there.

[Rick_SAS]

The new thread is at
https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/How-to-simulate-diffusion-process-wi...