c-foschi/mlintervals: Interpolation of interval averaged data using a maximum likelihood method

Package providing function interv_fit for interpolating values of a stochastic process Y, given a series of observed integrals of the process over equal time intervals, assuming that Y is a Wiener process. The package allows for estimation of scale parameter sigma2 when assuming homoskedaticity, and for plotting confidence bands.

install.packages("remotes")
remotes::install_github("c-foschi/mlintervals")