IARgamma: Maximum Likelihood Estimation of the IAR-Gamma model

In iAR: Irregularly Observed Autoregressive Models

Maximum Likelihood Estimation of the IAR-Gamma model

Description

Maximum Likelihood Estimation of the IAR-Gamma model.

Usage

IARgamma(y, st)

Arguments

y	Array with the time series observations
st	Array with the irregular observational times

Value

A list with the following components:

• phi MLE of the phi parameter of the IAR-Gamma model.

• mu MLE of the mu parameter of the IAR-Gamma model.

• sigma MLE of the sigma parameter of the IAR-Gamma model.

• ll Value of the negative log likelihood evaluated in phi, mu and sigma.

References

\insertRef

Eyheramendy_2018iAR

See Also

gentime, IARgsample, IARphigamma

Examples

n=300
set.seed(6714)
st<-gentime(n)
y<-IARgsample(phi=0.9,st=st,n=n,sigma2=1,mu=1)
model<-IARgamma(y$y, st=st)
phi=model$phi
muest=model$mu
sigmaest=model$sigma

iAR documentation built on Nov. 25, 2022, 1:06 a.m.