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 (\boldsymbol{\Phi}).

iota

Numeric vector. An unobserved term that is constant over time (\boldsymbol{\iota}).

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]