cts

Authors Zhu Wang, Granville Tunnicliffe-Wilson

Last update 17 May 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier PACKAGES.rds, 1.0-1, 1.0-4, 1.0-5, 1.0-6, 1.0-7, 1.0-8, 1.0-9, 1.0-10, 1.0-12, 1.0-15, 1.0-16, 1.0-17, 1.0-18, 1.0-19, 1.0-20, 1.0-21, 1.0-22, 1.0-24, 1.0-25, 1.0, 1.0-26

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>.

Cites work

cts: AnRPackage for Continuous Time Autoregressive Models via Kalman Filter

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