GetRho function

Characteristic time / auto-correlation for irregular time series

Estimates characteristic time $\tau$ or auto-correlation $\rho$ from a gappy time series dataset. It works first by estimating the mean and standard deviation directly from the time series X, using these to standardize the time series, and then optimizes for the likelihood of the value of $\tau$ or $\rho$.

GetRho(x, t, tau = TRUE)

Arguments

• x: vector of time series values.
• t: vector of times of measurements associated with x.
• tau: whether or not to estimate time scale $\tau$ (preferred) or autocorrelation $\rho$.

Returns

Returns a vector of length two: the estimate and the negative log-likelihood

Author(s)

Eliezer Gurarie