pomp (version 0.24-7)

ou2: Two-dimensional Ornstein-Uhlenbeck process

Description

ou2 is a pomp object encoding a bivariate 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)
plot(ou2)
coef(ou2)
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,
       x1.0=50,x2.0=-50
       )
x <- simulate(ou2,nsim=10,seed=20348585,params=p)
plot(x[[1]])
pfilter(ou2,params=p,Np=1000)$loglik