CiARfit: Fitted Values of CiAR model
In iAR: Irregularly Observed Autoregressive Models

CiARfit

R Documentation

Fitted Values of CiAR model

Fit a CiAR model to an irregularly observed time series.

CiARfit(coef, series, times, zero_mean = TRUE, standardized = TRUE, c = 1)

`coef`	An array with the parameters of the CiAR model. The elements of the array are, in order, the real and the imaginary part of the phi parameter of the CiAR model.
`series`	Array with the time series observations.
`times`	Array with the irregular observational times.
`zero_mean`	logical; if TRUE, the array series has zero mean; if FALSE, series has a mean different from zero.
`standardized`	logical; if TRUE, the array series is standardized; if FALSE, series contains the raw time series
`c`	Nuisance parameter corresponding to the variance of the imaginary part.

A list with the following components:

`fitted`	Fitted values of the observable part of CiAR model.
`xhat`	Fitted values of both observable part and imaginary part of CiAR model.
`Lambda`	Lambda value estimated by the CiAR model at the last time point.
`Theta`	Theta array estimated by the CiAR model at the last time point.
`Sighat`	Covariance matrix estimated by the CiAR model at the last time point.
`Qt`	Covariance matrix of the state equation estimated by the CiAR model at the last time point.