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irregulAR1

The R package irregulAR1 provides efficient density evaluation and random number generation for an irregularly sampled stationary AR(1) process with Gaussian errors.

Installation

You can install irregulAR1 from github with:

# install.packages("devtools")
devtools::install_github("BenjaK/irregulAR1")

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Version

Install

install.packages('irregulAR1')

Monthly Downloads

2

Version

1.0.0

License

GPL-3

Maintainer

Benjamin Kjellson

Last Published

May 27th, 2018

Functions in irregulAR1 (1.0.0)

ar1_sim_irregular_cpp

Simulate from a stationary Gaussian AR(1) process at irregular times.
band1_backsolve_mat

Backward substitution with band 1 lower Cholesky triangle and tridiagonal RHS.
mult_U_band1U

Multiply an upper triangular matrix with a band 1 upper triangular matrix.
band1_backsolve_vec

Backsolve with band 1 upper Cholesky.
ar1_cov_chol_irregular

Upper triangular Cholesky decomposition for a stationary Gaussian AR(1) process covariance matrix, observed at irregularly spaced time points.
ar1_sim_conditional

Simulate from a stationary Gaussian AR(1) process.
ar1_prec_irregular

Precision matrix for a stationary Gaussian AR(1) process, observed at irregularly spaced time points.
ar1_lpdf

Evaluate the log-density of a stationary Gaussian AR(1) process.
ar1_cov_consecutive

Covariance matrix for a stationary Gaussian AR(1) process, observed at consecutive timepoints.
ar1_cov_irregular

Covariance matrix for a stationary Gaussian AR(1) process, observed at irregularly spaced time points.
ar1_prec_consecutive

Sparse precision matrix for a stationary Gaussian AR(1) process, observed at consecutive timepoints.
ar1_prec_chol_irregular

Upper Cholesky triangle of the precision matrix of a stationary Gaussian AR(1) process, observed at irregularly spaced time points.
ar1_cross_cov

Cross-covariance matrix of a stationary Gaussian AR(1) process.
ar1_lpdf_cpp

Evaluate the log-density of a stationary Gaussian AR(1) process.
ar1_sim_consecutive

Simulate from a stationary Gaussian AR(1) process.
band1_backsolve

Backsolve with band 1 upper Cholesky.
dprecchol_drho

Derivative of the upper Cholesky triangle of the precision matrix of a stationary Gaussian AR(1) process.
ar1_sim_conditional_cpp

Simulate from a stationary Gaussian AR(1) process.
ar1_sim_cpp

Simulate from a stationary Gaussian AR(1) process.
chol_tridiag_upper

Upper Cholesky decomposition of a tridiagonal matrix.
dprec_drho

Derivative of the precision matrix for a stationary Gaussian AR(1) process.
ar1_sim_irregular

Simulate from a stationary Gaussian AR(1) process at irregular times.