Functions for Irregularly Sampled AR(1) Processes

Simulation and density evaluation of irregularly sampled stationary AR(1) processes with Gaussian errors using the algorithms described in Allévius (2018) .

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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:



irregulAR1 1.0.0

Reference manual

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1.0.0 by Benjamin Allévius, a year ago

Browse source code at

Authors: Benjamin Allévius [aut, cre]

Documentation:   PDF Manual  

GPL-3 license

Imports methods, Rcpp

Depends on Matrix

Suggests mvtnorm, testthat

Linking to Rcpp, RcppArmadillo

See at CRAN