ar1_lpdf: Evaluate the log-density of a stationary Gaussian AR(1)...
In irregulAR1: Functions for Irregularly Sampled AR(1) Processes

Description Usage Arguments Value Examples

Evaluate the log-density of a stationary Gaussian AR(1) process, observed at times times taking values x.

1	ar1_lpdf(x, times, rho, sigma, mu = 0)

`x`	A vector of observed values.
`times`	A vector of the time points of observation.
`rho`	A real number strictly less than 1 in absolute value.
`sigma`	A positive real number.
`mu`	A vector of expected values.

A scalar, the log density.

x <- rnorm(5) + 1:5
t <- c(1, 3, 5:6, 10)
rho <- 0.5
sigma <- 1
# zero mean
ar1_lpdf(x, t, rho, sigma)
# means equal times
mu <- t
ar1_lpdf(x + mu, t, rho, sigma, mu)