ou2: Two-dimensional discrete-time Ornstein-Uhlenbeck process

In pomp: Statistical Inference for Partially Observed Markov Processes

Description

ou2 is a pomp object encoding a bivariate discrete-time Ornstein-Uhlenbeck process.

Details

If the state process is X(t) = (x_{1}(t),x_{2}(t)), then

X(t+1) = α X(t) + σ ε(t),

where α and σ are 2x2 matrices, σ is lower-triangular, and ε(t) is standard bivariate normal. The observation process is Y(t) = (y_1(t),y_2(t)), where y_i(t) \sim \mathrm{normal}(x_i(t),τ). The functions rprocess, dprocess, rmeasure, dmeasure, and skeleton are implemented using compiled C code for computational speed: see the source code for details.

See Also

pomp

Examples

pompExample(ou2)
plot(ou2)
coef(ou2)
x <- simulate(ou2)
plot(x)
pf <- pfilter(ou2,Np=1000)
logLik(pf)

Example output

newly created object(s):
 ou2 
alpha.1 alpha.2 alpha.3 alpha.4 sigma.1 sigma.2 sigma.3     tau    x1.0    x2.0 
    0.8    -0.5     0.3     0.9     3.0    -0.5     2.0     1.0    -3.0     4.0 
[1] -479.8434

pomp documentation built on May 2, 2019, 4:09 p.m.