StationaryVariance: Stationary Variance of a OU process

View source: R/StationaryVariance.R

StationaryVarianceR Documentation

Stationary Variance of a OU process

Description

Calculates the stationary varianve of a multivariate OU model.

Usage

StationaryVariance(H, Sigma_x)

Arguments

H

Shur-factor of the adaptive rate matrix.

Sigma_x

Upper triangular factor of the brownian rate matrix.


FabioLugar/PCMkappa documentation built on Nov. 29, 2022, 2:18 a.m.