gbm: Geometric Brownian motion spatPomp simulator

In kidusasfaw/spatPomp: Inference for Spatiotemporal Partially Observed Markov Processes

Geometric Brownian motion spatPomp simulator

Description

Generate a spatPomp object representing a U-dimensional geometric Brownian motion with spatial correlation decaying geometrically with distance around a circle. The model is defined in continuous time, but an Euler approximation is used for this numerical implementation.

Usage

gbm(U = 5, N = 100, delta_t = 0.1, IVP_values = 1, delta_obs = 1)

Arguments

U	A length-one numeric signifying dimension of the process.
N	A length-one numeric signifying the number of time steps to evolve the process.
delta_t	process simulations are performed every delta_t time units
IVP_values	initial value parameters for the latent states
delta_obs	observations occur every delta_obs time units

Value

An object of class ‘spatPomp’ representing a simulation from a U-dimensional geometric Brownian motion

Author(s)

Kidus Asfaw

References

\asfaw2021thesis

See Also

Other spatPomp model generators: bm(), bm2(), he10(), lorenz(), measles()

Examples

# Complete examples are provided in the package tests
## Not run: 
g <- gbm(U=4, N=20)
# See all the model specifications of the object
spy(g)

## End(Not run)

kidusasfaw/spatPomp documentation built on April 22, 2024, 4:24 p.m.