IARt: Maximum Likelihood Estimation of the IAR-T model

In iAR: Irregularly Observed Autoregressive Models

Maximum Likelihood Estimation of the IAR-T model

Description

Maximum Likelihood Estimation of the IAR-T model.

Usage

IARt(y, st, nu = 3)

Arguments

y	Array with the time series observations
st	Array with the irregular observational times
nu	degrees of freedom

Value

A list with the following components:

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

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

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

References

\insertRef

Eyheramendy_2018iAR

See Also

gentime, IARtsample, IARphit

Examples

n=300
set.seed(6714)
st<-gentime(n)
y<-IARtsample(n,0.9,st,sigma2=1,nu=3)
model<-IARt(y$y, st=st)
phi=model$phi
sigmaest=model$sigma

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