IAR.phi.kalman: Minus Log Likelihood of the IAR Model estimated via Kalman...

Description Usage Arguments Value References See Also Examples

View source: R/IARphikalman.R

Description

This function return the negative log likelihood of the IAR process given a specific value of phi.

Usage

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IAR.phi.kalman(x, y, yerr, t, zero.mean = "TRUE", standarized = "TRUE")

Arguments

x

A given phi coefficient of the IAR model.

y

Array with the time series observations.

yerr

Array with the measurements error standard deviations.

t

Array with the irregular observational times.

zero.mean

logical; if true, the array y has zero mean; if false, y has a mean different from zero.

standarized

logical; if true, the array y is standarized; if false, y contains the raw time series.

Value

Value of the negative log likelihood evaluated in phi.

References

\insertRef

Eyheramendy_2018iAR

See Also

gentime, IAR.sample

Examples

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set.seed(6714)
st<-gentime(n=100)
y<-IAR.sample(phi=0.99,n=100,st)
y<-y$series
IAR.phi.loglik(x=0.8,y=y,sT=st)

iAR documentation built on April 15, 2021, 5:06 p.m.

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