Simulation and density evaluation of irregularly sampled stationary
AR(1) processes with Gaussian errors using the algorithms described in
Allévius (2018) .
The R package irregulAR1 provides efficient density evaluation and random number generation for an irregularly sampled stationary AR(1) process with Gaussian errors.
You can install irregulAR1 from github with:
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Benjamin Allévius, 8 months ago
Browse source code at
Benjamin Allévius [aut, cre]
Imports methods, Rcpp
Depends on Matrix
Suggests mvtnorm, testthat
Linking to Rcpp, RcppArmadillo
See at CRAN