ar1_lpdf_cpp: Evaluate the log-density of a stationary Gaussian AR(1) process.
Description
Evaluate the log-density of a stationary Gaussian AR(1) process, observed at
times times taking values x.
Usage
ar1_lpdf_cpp(x, mu, times, rho, sigma)
Arguments
x
A vector of observed values.
mu
A vector of expected values.
times
A vector of the time points of observation.
rho
A real number strictly less than 1 in absolute value.
Value
A scalar, the log density.