AIUQ (version 0.5.3)

fbm_ou_particle_intensity: Simulate 2D particle trajectory follows fBM plus OU

Description

Simulate 2D particle trajectory follows fraction Brownian Motion(fBM) plus a Ornstein–Uhlenbeck(OU) process for M particles.

Usage

fbm_ou_particle_intensity(pos0, M, len_t, sigma_fbm, sigma_ou, H, rho)

Value

Position matrix with dimension M\(\times\)len_t

by 2 for particle trajectory. The first M rows being the initial position pos0.

Arguments

pos0

initial position for M particles, matrix with dimension M by 2

M

number of particles

len_t

number of time steps

sigma_fbm

distance moved per time step in fractional Brownian Motion

sigma_ou

distance moved per time step in Ornstein–Uhlenbeck process

H

Hurst parameter of fractional Brownian Motion, value between 0 and 1

rho

correlation between successive step and previous step in OU process, value between 0 and 1

Author

tools:::Rd_package_author("AIUQ")

Examples

library(AIUQ)
M = 10
len_t = 50
sigma_fbm = 2
H = 0.3
sigma_ou = 2
rho = 0.95
pos0 = matrix(100/8+0.75*100*runif(M*2),nrow=M,ncol=2)

pos = fbm_ou_particle_intensity(pos0=pos0, M=M, len_t=len_t,
  sigma_fbm=sigma_fbm, sigma_ou=sigma_ou, H=H, rho=rho)