NLmodel: The Nonlinear State-Space Model Data

In TSSS: Time Series Analysis with State Space Model

The Nonlinear State-Space Model Data

Description

The series generated by the nonlinear state-space model.

Usage

data(NLmodel)

Format

A matrix with 100 rows and 2 columns.

[, 1]	x_n
[, 2]	y_n

Details

The system model x_n and the observation model y_n are generated by following state-space model:

x_n = \frac{1}{2} x_{n-1} + \frac{25x_{n-1}}{x_{n-1}^2+1} + 8cos(1.2n) + v_n

y_n = \frac{x_n^2}{10} + w_n,

where v_n ~ N(0, 1), w_n ~ N(0, 10), v_0 ~ N(0, 5).

TSSS documentation built on Sept. 29, 2023, 9:07 a.m.