On the precision matrix of an irregularly sampled AR(1) process
Methodology
2018-05-30 v2
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.
Cite
@article{arxiv.1801.03791,
title = {On the precision matrix of an irregularly sampled AR(1) process},
author = {Benjamin Allévius},
journal= {arXiv preprint arXiv:1801.03791},
year = {2018}
}