TiCIR: Simulated Bivariate Time In-Homogeneous CIR process.

In DiffusionRimp: Inference and Analysis for Diffusion Processes via Data Imputation and Method of Lines

Description

A simulated diffusion of the form

dX_t = X_t(1+sin(2*pi*t)-X_t^2)dt +dW_t^1,

dY_t = Y_t(1+sin(2*pi*t)-Y_t^2)dt +dW_t^2,

with X_0 = 1 and Y_0 = 1.

Usage

data(TiCIR)

Format

A data frame with 101 observations on the following 3 variables.

X_t

A numeric vector of X-coordinates for the simulated data.

Y_t

A numeric vector of X-coordinates for the simulated data.

t

A numeric vector of time nodes at which the simulated data were observed.

Examples

data(TiCIR)

DiffusionRimp documentation built on May 2, 2019, 2 p.m.