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]
All associated links for this package
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 28 Jan. 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
Get rewarded with contribution points by helping add
Reviews / comments / questions /suggestions ↴↴↴

Today's Hot Picks in Authors and Packages

fabMix  
Overfitting Bayesian Mixtures of Factor Analyzers with Parsimonious Covariance and Unknown Number of Components
Model-based clustering of multivariate continuous data using Bayesian mixtures of factor analyzers ( ...
Download / Learn more Package Citations See dependency  
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  
easyPubMed  
Search and Retrieve Scientific Publication Records from PubMed
Query NCBI Entrez and retrieve PubMed records in XML or text format. Process PubMed records by extra ...
Download / Learn more Package Citations See dependency  
eiopaR  
Access to RFR (Risk-Free Rate) Curves Produced by the EIOPA
Provides EIOPA (European Insurance And Occupational Pensions Authority) risk-free rates. Please note ...
Download / Learn more Package Citations See dependency  
waiter  
Loading Screen for 'Shiny'
Full screen and partial loading screens for 'Shiny' with spinners, progress bars, and notifications. ...
Download / Learn more Package Citations See dependency  
MetaIntegration  
Ensemble Meta-Prediction Framework
An ensemble meta-prediction framework to integrate multiple regression models into a current study. ...
Download / Learn more Package Citations See dependency  

23,580

R Packages

204,057

Dependencies

63,980

Author Associations

23,581

Publication Badges

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