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cts  

Continuous Time Autoregressive Models
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("cts", "1.0-24")



Attach the package and use:
library("cts")
Maintained by
Zhu Wang
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-03-17
Latest Update: 2026-03-17
Description:
Provides tools for fitting continuous-time autoregressive (CAR) and complex CAR (CZAR) models for irregularly sampled time series using an exact Gaussian state-space formulation and Kalman filtering/smoothing. Implements maximum-likelihood estimation with stable parameterizations of characteristic roots, model selection via AIC, residual and spectral diagnostics, forecasting and simulation, and extraction of fitted state estimates. Methods are described in Wang (2013) <doi:10.18637/jss.v053.i05>.
How to cite:
Zhu Wang (2026). cts: Continuous Time Autoregressive Models. R package version 1.0-24, https://cran.r-project.org/web/packages/cts. Accessed 14 Jul. 2026.
Previous versions and publish date:
(2026-07-09 07:29), 1.0-1 (2006-09-29 23:34), 1.0-4 (2011-07-23 15:50), 1.0-5 (2011-08-28 16:01), 1.0-6 (2011-11-15 07:49), 1.0-7 (2011-11-18 08:13), 1.0-8 (2011-11-22 09:45), 1.0-9 (2012-01-15 23:23), 1.0-10 (2012-04-05 08:27), 1.0-12 (2012-07-25 16:33), 1.0-15 (2013-04-08 18:33), 1.0-16 (2013-06-13 07:39), 1.0-17 (2013-06-21 17:44), 1.0-18 (2013-08-22 20:52), 1.0-19 (2014-02-27 00:15), 1.0-20 (2015-10-28 00:09), 1.0-21 (2017-04-28 15:47), 1.0-22 (2019-01-14 21:10), 1.0-24 (2026-03-17 20:00), 1.0-25 (2026-04-20 18:00), 1.0 (2006-06-23 09:23)
Other packages that cited cts R package
View cts citation profile
Other R packages that cts depends, imports, suggests or enhances
Complete documentation for cts
Functions, R codes and Examples using the cts R package
Full cts package functions and examples
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