systemMatrices: State Model Matrices for an RWalc Model

Description Usage Arguments Value

View source: R/RWalc.R

Description

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.

Usage

1

Arguments

beta

Parameter vector of length 2.

sigma

Parameter vector of length 2.

dt

Time step.

Value

A list with components

A

transition matrix

Q

innovation covariance matrix


SWotherspoon/RWalc documentation built on Feb. 25, 2021, 8:26 p.m.