On the precision matrix of an irregularly sampled AR(1) process
classification
📊 stat.ME
keywords
irregularlymatrixprecisionprocesssampledalgorithmsanalyticalappear
read the original abstract
Irregularly sampled AR(1) processes appear in many computationally demanding applications. This text provides an analytical expression for the precision matrix of such a process, and gives efficient algorithms for density evaluation and simulation, implemented in the R package irregulAR1.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.