Statistical Inference for Network Time Series

Statistical inference tools for network time series, including implementation of the Graph Ornstein-Uhlenbeck ('GrOU') model and sparse AR-like regression on irregularly-spaced data (Courgeau and Veraart (2020) ; Courgeau and Veraart ). It also handles jumps and Levy-type driving noises through Wiener-Poisson mixtures and Generalised Hyperbolic distributions.


Reference manual

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1.0.0 by Valentin Courgeau, 15 days ago

Browse source code at

Authors: Valentin Courgeau [aut, cre, cph]

Documentation:   PDF Manual  

MIT + file LICENSE license

Imports assertthat, copCAR, ghyp, Matrix, mvtnorm, pracma, stats, zoo

Suggests igraph, knitr, numDeriv, rmarkdown, spelling, testthat

See at CRAN