IARphigamma {iAR}

Minus Log Likelihood IAR-Gamma Model

Description

This function return the negative log likelihood of the IAR-Gamma given specific values of phi, mu and sigma.

Usage

IARphigamma(yest, x_input, y, st)

Arguments

yest

The estimate of a missing value in the time series. This function recognizes a missing value with a NA. If the time series does not have a missing value, this value does not affect the computation of the likelihood.

x_input

An array with the parameters of the IAR-Gamma model. The first element of the array corresponding to the phi parameter, the second to the level parameter mu, and the last one to the scale parameter sigma.

y

Array with the time series observations.

st

Array with the irregular observational times.

Value

Value of the negative log likelihood evaluated in phi, mu and sigma.

References

Eyheramendy S, Elorrieta F, Palma W (2018). “An irregular discrete time series model to identify residuals with autocorrelation in astronomical light curves.” Monthly Notices of the Royal Astronomical Society, 481(4), 4311–4322. ISSN 0035-8711, doi: 10.1093/mnras/sty2487, https://academic.oup.com/mnras/article-pdf/481/4/4311/25906473/sty2487.pdf.

See Also

gentime, IARgsample

Examples

n=100
set.seed(6714)
st<-gentime(n)
y<-IARgsample(phi=0.9,st=st,n=n,sigma2=1,mu=1)
IARphigamma(x_input=c(0.9,1,1),y=y$y,st=st,yest=0)