systemMatrices | R Documentation |
Construct the transition matrix 'A' and innovation covariance matrix 'Q' for the continuous time random walk model corresponding to parameters 'beta', 'sigma' and time step 'dt'.
systemMatrices(beta, sigma, dt)
beta |
Parameter vector of length 2. |
sigma |
Parameter vector of length 2. |
dt |
Time step. |
A list with components: - 'A': transition matrix - 'Q': innovation covariance matrix
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