estim_mar_dep_full: Compute the parameter lambda between two MAR by maximum...

In saidqasmi/KCC: Kriging for Climate Change (KCC)

Compute the parameter lambda between two MAR by maximum likelihood

Description

estim_mar_dep_full computes all the parameters, including lambda, relative to the mixture of the two autoregressive processes of order 1 (MAR, see equation 10 in Supplementary Material of Qasmi and Ribes, 2021) to capture fast and slow components within two given time series. Parameters are estimated by maximum likelihood via the optim function.

Usage

estim_mar_dep_full(y)

Arguments

y	a vector of two concatenated time series, typically corresponding to global and local internal variability

Value

a vector containing the 9 MAR parameters fitted to y. v1_slow (v1_fast) is the variance of the white noise associated with the slow (fast) component of the first time series. a1_ar1 (a2_ar1) is the coefficient at lag 1 associated with the slow (fast) component of the first time series. Similarly v2_slow, v2_fast, a1_ar1, a2_ar1) are the parameters associated with the second time series. lambda is the parameter linking the two time series.

saidqasmi/KCC documentation built on July 8, 2022, 6:02 a.m.