The R package Rdrw provides a toolbox to fit and simulate univariate and multivariate damped random walk processes, possibly with known measurement error standard deviations via state-space representation. The damped random walk process is also known as an Ornstein-Uhlenbeck process or a continuous-time auto-regressive model with order one, i.e., CAR(1) or CARMA(1, 0). The package Rdrw adopts Kalman-filtering to evaluate the resulting likelihood function of the model parameters, leading to a linear complexity in the number of unique observation times. The package provides two functionalities; (i) it fits the model and returns the maximum likelihood estimates or posterior samples of the model parameters; (ii) it simulates time series data following the univariate or multivariate damped random walk process.
| Package: | Rdrw |
| Type: | Package |
| Version: | 1.0.2 |
| Date: | 2020-9-8 |
| License: | GPL-2 |
| Main functions: | drw, drw.sim |
Zhirui Hu and Hyungsuk Tak (2020+), "Modeling Stochastic Variability in Multi-Band Time Series Data," arXiv:2005.08049.