Description Usage Arguments Value
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
.
1 |
beta |
Parameter vector of length 2. |
sigma |
Parameter vector of length 2. |
dt |
Time step. |
A list with components
|
transition matrix |
|
innovation covariance matrix |
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