IARphigamma: Minus Log Likelihood IAR-Gamma Model

In iAR: Irregularly Observed Autoregressive Models

Minus Log Likelihood IAR-Gamma Model

Description

This function return the negative log likelihood of the IAR-Gamma given specific values of phi, mu and sigma.

Usage

IARphigamma(yest, x_input, y, st)

Arguments

yest	The estimate of a missing value in the time series. This function recognizes a missing value with a NA. If the time series does not have a missing value, this value does not affect the computation of the likelihood.
x_input	An array with the parameters of the IAR-Gamma model. The first element of the array corresponding to the phi parameter, the second to the level parameter mu, and the last one to the scale parameter sigma.
y	Array with the time series observations.
st	Array with the irregular observational times.

Value

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

References

\insertRef

Eyheramendy_2018iAR

See Also

gentime, IARgsample

Examples

n=100
set.seed(6714)
st<-gentime(n)
y<-IARgsample(phi=0.9,st=st,n=n,sigma2=1,mu=1)
IARphigamma(x_input=c(0.9,1,1),y=y$y,st=st,yest=0)

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