Ornstein {ctsmTMB} | R Documentation |
Sample from a simulated Ornstein-Uhlenbeck process with time-dependent mean
Description
The data was simulated using a standard Euler-Maruyama method.
The simulated process is governed by the SDE #' dx ~ theta * (mu + u - x) * dt + sigma_x * dw
The parameters used for simulation were theta = 2, mu = 0.5, sigma_x = 1.358, sigma_y = 1e-8
The simulation time-step was 1e-3, and observation time-step 1e-1. The simulation was taken from t = 0..20
Usage
Ornstein
Format
A data frame of 201 rows and 3 columns. The columns represent the
variables: t
(time), y
(observation) and u
(input).
[Package ctsmTMB version 1.0.0 Index]