cts : An R Package for Continuous Time Autoregressive Models via Kalman Filter
We describe an R package cts for fitting a modified form of continuous time autoregressive model, which can be particularly useful with unequally sampled time series. The estimation is based on the application of the Kalman filter. The paper provides the methods and algorithms implemented in the pac...
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| Format: | Article |
| Language: | English |
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Foundation for Open Access Statistics
2013-04-01
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| Series: | Journal of Statistical Software |
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| Online Access: | http://www.jstatsoft.org/v53/i05/paper |