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

In iAR: Irregularly Observed Autoregressive Models

Minus Log Likelihood of the IAR Model estimated via Kalman Recursions

Description

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

Usage

IARphikalman(yest, x, y, yerr, st, zeroMean = TRUE, standardized = TRUE)

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	A given phi coefficient of the IAR model.
y	Array with the time series observations.
yerr	Array with the measurements error standard deviations.
st	Array with the irregular observational times.
zeroMean	logical; if TRUE, the array y has zero mean; if FALSE, y has a mean different from zero.
standardized	logical; if TRUE, the array y is standardized; 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, IARsample

Examples

set.seed(6714)
st<-gentime(n=100)
y<-IARsample(phi=0.99,st=st,n=100)
y<-y$series
yerr=rep(0,100)
IARphikalman(x=0.8,y=y,yerr=yerr,st=st,yest=0)

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