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 03 May. 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
04/0404/0504/0604/0704/0804/0904/1004/1104/1204/1304/1404/1504/1604/1704/1804/1904/2004/2104/2204/2304/2404/2504/2604/2704/2804/2904/3005/01Downloads for Rdrw0246810121416182022242628TrendBars

Today's Hot Picks in Authors and Packages

r2resize  
In-Text Resize for Images, Tables and Fancy Resize Containers in 'shiny', 'rmarkdown' and 'quarto' Documents
Automatic resizing toolbar for containers, images and tables. Various resizable or expandable contai ...
Download / Learn more Package Citations See dependency  
mlr3fselect  
Feature Selection for 'mlr3'
Feature selection package of the 'mlr3' ecosystem. It selects the optimal feature set for any 'mlr3 ...
Download / Learn more Package Citations See dependency  
grabsampling  
Probability of Detection for Grab Sample Selection
Functions for obtaining the probability of detection, for grab samples selection by using two differ ...
Download / Learn more Package Citations See dependency  
farrell  
Interactive Interface to Data Envelopment Analysis Modeling
Allows the user to execute interactively radial data envelopment analysis models. The user has the a ...
Download / Learn more Package Citations See dependency  
TestDesign  
Optimal Test Design Approach to Fixed and Adaptive Test Construction
Uses the optimal test design approach by Birnbaum (1968, ISBN:9781593119348) and van der Linden (201 ...
Download / Learn more Package Citations See dependency  
nlsem  
Fitting Structural Equation Mixture Models
Estimation of structural equation models with nonlinear effects and underlying nonnormal distributi ...
Download / Learn more Package Citations See dependency  

24,142

R Packages

207,311

Dependencies

65,312

Author Associations

24,143

Publication Badges

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