valcourgeau/ntwk: Statistical Inference for Network Time Series

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.

install.packages("remotes")
remotes::install_github("valcourgeau/ntwk")