Calculate characteristic roots and system frequency from the estimated reparameterized coefficients of CAR fits.
a fitted time-series CAR model
A table with characteristic roots and frequencies for the corresponding model fit.
G. Tunnicliffe Wilson and Zhu Wang
Belcher, J. and Hampton, J. S. and Tunnicliffe Wilson, G. (1994). Parameterization of continuous time autoregressive models for irregularly sampled time series data. Journal of the Royal Statistical Society, Series B, Methodological,56,141–155
Jones, Richard H. (1981). Fitting a continuous time autoregression to discrete data. Applied Time Series Analysis II, 651–682
Wang, Zhu(2004). The Application of the Kalman Filter to Nonstationary Time Series through Time Deformation. PhD thesis, Southern Methodist University
Wang, Zhu (2013). cts: An R Package for Continuous Time Autoregressive Models via Kalman Filter. Journal of Statistical Software, Vol. 53(5), 1–19. http://www.jstatsoft.org/v53/i05
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