ou2                   package:pomp                   R Documentation

_T_w_o-_d_i_m_e_n_s_i_o_n_a_l _O_r_n_s_t_e_i_n-_U_h_l_e_n_b_e_c_k _p_r_o_c_e_s_s

_D_e_s_c_r_i_p_t_i_o_n:

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

_U_s_a_g_e:

     data(ou2)

_D_e_t_a_i_l_s:

     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.

_S_e_e _A_l_s_o:

     'pomp-class' and the vignettes

_E_x_a_m_p_l_e_s:

     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

