ou_rts_smooth: RTS smoother for OU model
In suziebrown/miniproject1:
Description
Usage
Arguments
Value
Author(s)
Description
Calculate the Rauch-Tung-Striebel smoothing distribution for observations from an Ornstein-Uhlenbeck model
Usage
1
ou_rts_smooth(observations, delta, sigma, prior_mean = 0, prior_var = 1)
Arguments
observations
vector of observations from the OU model
delta
drift parameter of the Ornstein-Uhlenbeck process
sigma
noise parameter of the Ornstein-Uhlenbeck process
prior_mean
prior mean
prior_var
prior variance
Value
list containing the smoothed means and variances
Author(s)
Suzie Brown
suziebrown/miniproject1 documentation built on May 26, 2019, 9:36 a.m.
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Description Usage Arguments Value Author(s)
Description
Calculate the Rauch-Tung-Striebel smoothing distribution for observations from an Ornstein-Uhlenbeck model
Usage
1 | ou_rts_smooth(observations, delta, sigma, prior_mean = 0, prior_var = 1)
|
Arguments
observations |
vector of observations from the OU model |
delta |
drift parameter of the Ornstein-Uhlenbeck process |
sigma |
noise parameter of the Ornstein-Uhlenbeck process |
prior_mean |
prior mean |
prior_var |
prior variance |
Value
list containing the smoothed means and variances
Author(s)
Suzie Brown
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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