Other packages > Find by keyword >

Rdrw  

Univariate and Multivariate Damped Random Walk Processes
View on CRAN: Click here


Download and install Rdrw package within the R console
Install from CRAN:
install.packages("Rdrw")

Install from Github:
library("remotes")
install_github("cran/Rdrw")

Install by package version:
library("remotes")
install_version("Rdrw", "1.0.2")



Attach the package and use:
library("Rdrw")
Maintained by
Hyungsuk Tak
[Scholar Profile | Author Map]
First Published: 2020-05-08
Latest Update: 2020-09-08
Description:
We provide a toolbox to fit and simulate a univariate or multivariate damped random walk process that is also known as an Ornstein-Uhlenbeck process or a continuous-time autoregressive model of the first order, i.e., CAR(1) or CARMA(1, 0). This process is suitable for analyzing univariate or multivariate time series data with irregularly-spaced observation times and heteroscedastic measurement errors. When it comes to the multivariate case, the number of data points (measurements/observations) available at each observation time does not need to be the same, and the length of each time series can vary. The number of time series data sets that can be modeled simultaneously is limited to ten in this version of the package. We use Kalman-filtering to evaluate the resulting likelihood function, which leads to a scalable and efficient computation in finding maximum likelihood estimates of the model parameters or in drawing their posterior samples. Please pay attention to loading the data if this package is used for astronomical data analyses; see the details in the manual. Also see Hu and Tak (2020) .
How to cite:
Hyungsuk Tak (2020). Rdrw: Univariate and Multivariate Damped Random Walk Processes. R package version 1.0.2, https://cran.r-project.org/web/packages/Rdrw. Accessed 04 Apr. 2025.
Previous versions and publish date:
1.0.0 (2020-05-08 20:00), 1.0.1 (2020-05-19 13:50)
Other packages that cited Rdrw R package
View Rdrw citation profile
Other R packages that Rdrw depends, imports, suggests or enhances
Complete documentation for Rdrw
Functions, R codes and Examples using the Rdrw R package
Some associated functions: Rdrw-internal . Rdrw-package . drw . drw.sim . 
Some associated R codes: drw.R .  Full Rdrw package functions and examples
Downloads during the last 30 days
03/0503/0603/0703/0803/1003/1103/1203/1303/1403/1503/1603/1803/1903/2003/2103/2203/2303/2403/2503/2603/2703/2803/2903/3003/3104/0104/02Downloads for Rdrw12345678910TrendBars

Today's Hot Picks in Authors and Packages

quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
GeDS  
Geometrically Designed Spline Regression
Spline Regression, Generalized Additive Models, and Component-wise Gradient Boosting, utilizing Geo ...
Download / Learn more Package Citations See dependency  
RMixpanel  
API for Mixpanel
Provides an interface to many endpoints of Mixpanel's Data Export, Engage and JQL API. The R functio ...
Download / Learn more Package Citations See dependency  
perryExamples  
Examples for Integrating Prediction Error Estimation into Regression Models
Examples for integrating package 'perry' for prediction error estimation into regression models. ...
Download / Learn more Package Citations See dependency  
metaprotr  
Metaproteomics Post-Processing Analysis
Set of tools for descriptive analysis of metaproteomics data generated from high-throughput mass ...
Download / Learn more Package Citations See dependency  
Rexperigen  
R Interface to Experigen
Provides convenience functions to communicate with an Experigen server: Experigen ( ...
Download / Learn more Package Citations See dependency  

23,990

R Packages

207,311

Dependencies

64,809

Author Associations

23,991

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA