Why do I get an error in this function and how to solve it?

function r=OU_SAMPLE (n,dt,beta,theta,sig,r0);

t(1)=0;

x(1)=theta-r0;

r(1)=r0;

for i=1:n-1;

t(i+1)=i*dt;

v=(exp(2*beta*t(i+1))-exp(2*beta*t(i)))*(2*beta)^(-1);

x(i+1)=x(i)-sig*normrnd(0,sqrt(v));

r(i+1)=theta-exp(-beta*t(i+1))*x(i+1);

end;

end

function r=OU_SAMPLE (n,dt,beta,theta,sig,r0);

↑

Error: Function definition not supported in this context. Create functions in code file.

Answer 1

[the cyclist]

You cannot define a function at the command line. You need to place the lines

function r=OU_SAMPLE (n,dt,beta,theta,sig,r0);
t(1)=0;
x(1)=theta-r0;
r(1)=r0;
for i=1:n-1;
    t(i+1)=i*dt;
    v=(exp(2*beta*t(i+1))-exp(2*beta*t(i)))*(2*beta)^(-1);
    x(i+1)=x(i)-sig*normrnd(0,sqrt(v));
    r(i+1)=theta-exp(-beta*t(i+1))*x(i+1);
end;
end

inside of a file (that conventionally should be named OU_SAMPLE.m).

Then you can call that function using

OU_SAMPLE() % with the appropriate arguments