LinSDEMean {simStateSpace} | R Documentation |
Steady-State Mean Vector for the Linear Stochastic Differential Equation Model
Description
The steady-state mean vector is given by
-\boldsymbol{\Phi}^{-1} \boldsymbol{\iota}
.
Usage
LinSDEMean(phi, iota)
Arguments
phi |
Numeric matrix.
The drift matrix
which represents the rate of change of the solution
in the absence of any random fluctuations
( |
iota |
Numeric vector.
An unobserved term that is constant over time
( |
Author(s)
Ivan Jacob Agaloos Pesigan
See Also
Other Simulation of State Space Models Data Functions:
LinSDE2SSM()
,
LinSDECov()
,
SimBetaN()
,
SimPhiN()
,
SimSSMFixed()
,
SimSSMIVary()
,
SimSSMLinGrowth()
,
SimSSMLinGrowthIVary()
,
SimSSMLinSDEFixed()
,
SimSSMLinSDEIVary()
,
SimSSMOUFixed()
,
SimSSMOUIVary()
,
SimSSMVARFixed()
,
SimSSMVARIVary()
,
TestPhi()
,
TestStability()
,
TestStationarity()
Examples
iota <- c(0.317, 0.230)
phi <- matrix(
data = c(
-0.10,
0.05,
0.05,
-0.10
),
nrow = 2
)
LinSDEMean(phi = phi, iota = iota)
[Package simStateSpace version 1.2.10 Index]