GetL {bcpa}R Documentation

Obtain likelihood of gappy Gaussian time series

Description

Obtain likelihood of gappy standardized Gaussian time series "x" sampled at times "t" given parameter "rho" (autocorrelation). Alternatively computes the charactersitic time scale "tau".

Usage

GetL(x, t, rho, tau = FALSE)

Arguments

x

Time series

t

Sampling times

rho

Auto-correlation

tau

logical: Whether or not to compute characteristic time scale instead of rho.

Value

Returns the log-likelihood of the data.

Author(s)

Eliezer Gurarie

See Also

Core function of BCPA, used directly in GetRho

Examples

# create full time-series
rho <- 0.8
x.full <- arima.sim(1000, model=list(ar = rho))
t.full <- 1:1000

# subsample time series
keep <- sort(sample(1:1000, 200))
x <- x.full[keep]
t <- t.full[keep]
plot(t,x, type="l")

# sweep values of rho
rhos <- seq(0,.99,.01)
L <- rep(NA, length(rhos))
for(i in 1:length(rhos))
  L[i] <- GetL(x,t,rhos[i])

# plot likelihood profile
plot(rhos, L, type="l")
abline(v = rhos[L == max(L)], lty=3, lwd=2)
abline(v = rho, lty=2, lwd=2)
legend("bottomleft", legend=c("true value","MLE"), lty=3:2, lwd=2)

[Package bcpa version 1.1 Index]