hello everyone,
i'm trying to simulate a 2-parameter integrated ornstein-uhlenbeck (IOU)
process, but i'm not sure exactly where to start (which package, which
function). the motivation is the paper by taylor et. al. (JASA 1994) "a
stochastic model for the analysis of longitudinal aids data." the model they
suggest consists of a combination of fixed and random effects, a stochastic
process, and measurement error.
the 2-parameter IOU process they suggest has cov[W(s), W(t)] =
(sigma^2/(2alpha^3)[2alpha min(s,t)+exp(-alpha* t) +exp(-alpha* s)-1
-exp(alpha*|t-s|)).
any insight into either fitting the model or simulating a 2-parameter IOU
process would be appreciated.
thanks,
farzad
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