Functions for Irregularly Sampled AR(1) Processes

[Up] [Top]

Documentation for package ‘irregulAR1’ version 1.0.0

Help Pages

ar1_cov_chol_irregular Upper triangular Cholesky decomposition for a stationary Gaussian AR(1) process covariance matrix, observed at irregularly spaced time points.
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_cross_cov Cross-covariance matrix of a stationary Gaussian AR(1) process.
ar1_lpdf Evaluate the log-density of a stationary Gaussian AR(1) process.
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_prec_consecutive Sparse precision matrix for a stationary Gaussian AR(1) process, observed at consecutive timepoints.
ar1_prec_irregular Precision matrix for a stationary Gaussian AR(1) process, observed at irregularly spaced time points.
ar1_sim_conditional Simulate from a stationary Gaussian AR(1) process.
ar1_sim_consecutive Simulate from a stationary Gaussian AR(1) process.
ar1_sim_irregular Simulate from a stationary Gaussian AR(1) process at irregular times.
band1_backsolve Backsolve with band 1 upper Cholesky.
chol_tridiag_upper Upper Cholesky decomposition of a tridiagonal matrix.
dprecchol_drho Derivative of the upper Cholesky triangle of the precision matrix of a stationary Gaussian AR(1) process.
dprec_drho Derivative of the precision matrix for a stationary Gaussian AR(1) process.
mult_U_band1U Multiply an upper triangular matrix with a band 1 upper triangular matrix.