gbm {spatPomp}

Geometric Brownian motion spatPomp simulator

Description

Generate a spatPomp object representing a U-dimensional geometric Brownian motion with spatial correlation decaying geometrically with distance around a circle. The model is defined in continuous time, but an Euler approximation is used for this numerical implementation.

Usage

gbm(U = 5, N = 100, delta_t = 0.1, IVP_values = 1, delta_obs = 1)

Arguments

U

A length-one numeric signifying dimension of the process.

N

A length-one numeric signifying the number of time steps to evolve the process.

delta_t

process simulations are performed every delta_t time units

IVP_values

initial value parameters for the latent states

delta_obs

observations occur every delta_obs time units

Value

An object of class ‘spatPomp’ representing a simulation from a U-dimensional geometric Brownian motion

Author(s)

Kidus Asfaw

References

Asfaw, K. T. (2021). Simulation-based Inference for Partially Observed Markov Process Models with Spatial Coupling. University of Michigan Doctoral dissertation. doi:10.7302/2751

See Also

Other spatPomp model generators: bm(), bm2(), he10(), lorenz(), measles()

Examples

# Complete examples are provided in the package tests
## Not run: 
g <- gbm(U=4, N=20)
# See all the model specifications of the object
spy(g)

## End(Not run)