You may want to check the package "sde" that can simulate from a number of different stochastic differential equations, including the OU process.
Ravi. ---------------------------------------------------------------------------- ------- Ravi Varadhan, Ph.D. Assistant Professor, The Center on Aging and Health Division of Geriatric Medicine and Gerontology Johns Hopkins University Ph: (410) 502-2619 Fax: (410) 614-9625 Email: [EMAIL PROTECTED] Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html ---------------------------------------------------------------------------- -------- -----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Farzad Noubary Sent: Wednesday, November 28, 2007 7:58 AM To: r-help@r-project.org Subject: [R] simulating a 2-parameter integrated ornstein-uhlenbeck process? 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 ____________________________________________________________________________ ________ Be a better sports nut! Let your teams follow you [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
