IARphit: Minus Log Likelihood IAR-T Model

In iAR: Irregularly Observed Autoregressive Models

Minus Log Likelihood IAR-T Model

Description

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

Usage

IARphit(yest, x, y, st, nu = 3)

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	An array with the parameters of the IAR-T model. The first element of the array corresponding to the phi parameter and the second element to the scale parameter sigma
y	Array with the time series observations
st	Array with the irregular observational times
nu	degrees of freedom

Value

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

References

\insertRef

Eyheramendy_2018iAR

See Also

gentime, IARtsample

Examples

n=300
set.seed(6714)
st<-gentime(n)
y<-IARtsample(n,0.9,st,sigma2=1,nu=3)
IARphit(x=c(0.9,1),y=y$y,st=st,yest=0)

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