Ornstein: Sample from a simulated Ornstein-Uhlenbeck process with...
In ctsmTMB: Continuous Time Stochastic Modelling using Template Model Builder
Ornstein R Documentation
Sample from a simulated Ornstein-Uhlenbeck process with time-dependent mean
Description
The data was simulated using a standard Euler-Maruyama method.
The simulated process is governed by the SDE
#' dx ~ theta * (mu + u - x) * dt + sigma_x * dw
The parameters used for simulation were
theta = 2, mu = 0.5, sigma_x = 1.358, sigma_y = 1e-8
The simulation time-step was 1e-3, and observation time-step 1e-1.
The simulation was taken from t = 0..20
Usage
Ornstein
Format
A data frame of 201 rows and 3 columns. The columns represent the
variables: t (time), y (observation) and u (input).
ctsmTMB documentation built on April 12, 2025, 1:45 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| Ornstein | R Documentation |
Sample from a simulated Ornstein-Uhlenbeck process with time-dependent mean
Description
The data was simulated using a standard Euler-Maruyama method.
The simulated process is governed by the SDE #' dx ~ theta * (mu + u - x) * dt + sigma_x * dw
The parameters used for simulation were theta = 2, mu = 0.5, sigma_x = 1.358, sigma_y = 1e-8
The simulation time-step was 1e-3, and observation time-step 1e-1. The simulation was taken from t = 0..20
Usage
Ornstein
Format
A data frame of 201 rows and 3 columns. The columns represent the
variables: t (time), y (observation) and u (input).
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.