GetRho {bcpa}

Characteristic time / auto-correlation for irregular time series

Description

Estimates characteristic time \tau or auto-correlation \rho from a gappy time series dataset. It works first by estimating the mean and standard deviation directly from the time series X, using these to standardize the time series, and then optimizes for the likelihood of the value of \tau or \rho.

Usage

GetRho(x, t, tau = TRUE)

Arguments

x

vector of time series values.

t

vector of times of measurements associated with x.

tau

whether or not to estimate time scale \tau (preferred) or autocorrelation \rho.

Value

Returns a vector of length two: the estimate and the negative log-likelihood

Author(s)

Eliezer Gurarie