systemMatrices: State Model Matrices for an RWalc Model

View source: R/RWalc.R

systemMatricesR Documentation

State Model Matrices for an RWalc Model

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

systemMatrices(beta, sigma, dt)

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 June 10, 2025, 6:46 a.m.