ou2 {pomp}R Documentation

Two-dimensional Ornstein-Uhlenbeck process

Description

ou2 is a pomp object encoding a 2-D Ornstein-Uhlenbeck process.

Usage

data(ou2)

Details

The OU process is fully but noisily observed. The functions rprocess, dprocess, rmeasure, and dmeasure are implemented using compiled C code for computational speed: see the source code for details. The use of this object is demonstrated in the vignette.

See Also

pomp-class and the vignettes.

Examples

data(ou2)
slotNames(ou2)
x0 <- c(x1.0=50,x2.0=-50)
p <- c(
       alpha.1=0.9,alpha.2=0,alpha.3=0,alpha.4=0.99,
       sigma.1=1,sigma.2=0,sigma.3=2,
       tau=1
       )
ou2 <- simulate(ou2,nsim=10,seed=20348585,xstart=x0,params=p)[[1]]
plot(ou2)
X <- matrix(x0,2,1000)
rownames(X) <- names(x0)
pfilter(ou2,xstart=X,params=p)$loglik

[Package pomp version 0.17-3 Index]