dStatWn2D {sdetorus} | R Documentation |
Stationary density of a WN diffusion (with diagonal diffusion matrix) in 2D
Description
Stationary density of the WN diffusion.
Usage
dStatWn2D(x, alpha, mu, sigma, rho = 0, maxK = 2L, expTrc = 30)
Arguments
x |
a matrix of dimension |
alpha |
vector of length |
mu |
a vector of length |
sigma |
vector of length |
rho |
correlation coefficient of |
maxK |
maximum absolute value of the windings considered in the computation of the WN. |
expTrc |
truncation for exponential: |
Value
A vector of size n
containing the stationary density evaluated at x
.
Examples
set.seed(345567)
alpha <- c(2, 1, -1)
sigma <- c(1.5, 2)
Sigma <- diag(sigma^2)
A <- alphaToA(alpha = alpha, sigma = sigma)
mu <- c(pi, pi)
dStatWn2D(x = toPiInt(matrix(1:20, nrow = 10, ncol = 2)), mu = mu,
alpha = alpha, sigma = sigma)
dTpdWou(t = 10, x = toPiInt(matrix(1:20, nrow = 10, ncol = 2)), A = A,
mu = mu, Sigma = Sigma, x0 = mu)
xth <- seq(-pi, pi, l = 100)
contour(xth, xth, matrix(dStatWn2D(x = as.matrix(expand.grid(xth, xth)),
alpha = alpha, sigma = sigma, mu = mu),
nrow = length(xth), ncol = length(xth)), nlevels = 50)
points(rStatWn2D(n = 1000, mu = mu, alpha = alpha, sigma = sigma), col = 2)
[Package sdetorus version 0.1.10 Index]