pomp (version 0.30-1)

ou2: Two-dimensional Ornstein-Uhlenbeck process

Description

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

Usage

data(ou2)

Details

The process is fully but noisily observed. The functions rprocess, dprocess, rmeasure, dmeasure, and skeleton 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 "intro_to_pomp".

See Also

pomp and the vignettes

Examples

data(ou2)
plot(ou2)
coef(ou2)
theta <- c(
           alpha.1=0.8, alpha.2=-0.5, alpha.3=0.3, alpha.4=0.9,
           sigma.1=3, sigma.2=-0.5, sigma.3=2,
           tau=1, 
           x1.0=-3, x2.0=4
           )
x <- simulate(ou2,nsim=10,seed=20348585,params=theta)
plot(x[[1]])
pfilter(ou2,params=theta,Np=1000)$loglik