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Statistical inference tools for network time series, including implementation of the Graph Ornstein-Uhlenbeck ('GrOU') model and sparse AR-like regression on irregularly-spaced data (Courgeau and Veraart (2020) <arXiv:2005.12720>; Courgeau and Veraart <arXiv:2008.10930>). It also handles jumps and Levy-type driving noises through Wiener-Poisson mixtures and Generalised Hyperbolic distributions.
Package details |
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Author | Valentin Courgeau [aut, cre, cph] (<https://orcid.org/0000-0002-7423-0090>) |
Maintainer | Valentin Courgeau <val.courgeau@gmail.com> |
License | MIT + file LICENSE |
Version | 1.0.0 |
Package repository | View on CRAN |
Installation |
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