GetL {bcpa} | R Documentation |
Obtain likelihood of gappy standardized Gaussian time series "x" sampled at times "t" given parameter "rho" (autocorrelation). Alternatively computes the charactersitic time scale "tau".
GetL(x, t, rho, tau = FALSE)
x |
Time series |
t |
Sampling times |
rho |
Auto-correlation |
tau |
logical: Whether or not to compute characteristic time scale instead of rho. |
Returns the log-likelihood of the data.
Eliezer Gurarie
Core function of BCPA, used directly in GetRho
# create full time-series rho <- 0.8 x.full <- arima.sim(1000, model=list(ar = rho)) t.full <- 1:1000 # subsample time series keep <- sort(sample(1:1000, 200)) x <- x.full[keep] t <- t.full[keep] plot(t,x, type="l") # sweep values of rho rhos <- seq(0,.99,.01) L <- rep(NA, length(rhos)) for(i in 1:length(rhos)) L[i] <- GetL(x,t,rhos[i]) # plot likelihood profile plot(rhos, L, type="l") abline(v = rhos[L == max(L)], lty=3, lwd=2) abline(v = rho, lty=2, lwd=2) legend("bottomleft", legend=c("true value","MLE"), lty=3:2, lwd=2)