IARphikalman {iAR}

Minus Log Likelihood of the IAR Model estimated via Kalman Recursions

Description

This function return the negative log likelihood of the IAR process given a specific value of phi.

Usage

IARphikalman(yest, x, y, yerr, st, zeroMean = TRUE, standardized = TRUE)

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

A given phi coefficient of the IAR model.

y

Array with the time series observations.

yerr

Array with the measurements error standard deviations.

st

Array with the irregular observational times.

zeroMean

logical; if TRUE, the array y has zero mean; if FALSE, y has a mean different from zero.

standardized

logical; if TRUE, the array y is standardized; if FALSE, y contains the raw time series.

Value

Value of the negative log likelihood evaluated in phi.

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, IARsample

Examples

set.seed(6714)
st<-gentime(n=100)
y<-IARsample(phi=0.99,st=st,n=100)
y<-y$series
yerr=rep(0,100)
IARphikalman(x=0.8,y=y,yerr=yerr,st=st,yest=0)