| logpdfOU {timedeppar} | R Documentation |
Calculate log pdf of an Ornstein-Uhlenbeck process
Description
This function calculates the log pdf of a realization of an Ornstein-Uhlenbeck process with given parameters. The calculation can be done for an Ornstein-Uhlenbeck process with a random start value, for a process conditional on the start value, or for a process conditional on start and end values. The function includes the option of performing the calculation for lognormal marginal generated by exponential tranformation.
Usage
logpdfOU(t, y, mean = 0, sd = 1, gamma = 1, cond = 0, log = FALSE)
Arguments
t |
vector of time points at which the OU process is available. |
y |
vector of y-values corresponing to the t-values (note that t and y need to be of the same length). |
mean |
asymptotic mean of the process. |
sd |
asymptotic standard deviation of the process. |
gamma |
rate coefficient for return to the mean |
cond |
conditioning: 0 indicates no conditioning, 1 conditioning to start value, and 2 conditioning to start and end value |
log |
if true, the log pdf of the log of y is calculated (mean and sd are interpreted in y, not in log(y) units) |
Value
the function returns the log pdf
Examples
OU <- randOU(mean=0,sd=1,gamma=1,t=0:1000/1000)
logpdfOU(OU$t,OU$y,mean=0,sd=1,gamma=1)