Sample from a simulated Ornstein-Uhlenbeck process with time-dependent mean

The data was simulated using a standard Euler-Maruyama method.

The simulated process is governed by the SDE #' dx ~ theta * (mu + u - x) * dt + sigma_x * dw

The parameters used for simulation were theta = 2, mu = 0.5, sigma_x = 1.358, sigma_y = 1e-8

The simulation time-step was 1e-3, and observation time-step 1e-1. The simulation was taken from t = 0..20

Usage

Ornstein

Format

A data frame of 201 rows and 3 columns. The columns represent the variables: t (time), y (observation) and u (input).