Package: Rdrw
Version: 1.0.3
Date: 2026-07-02
Title: Univariate and Multivariate Damped Random Walk Processes
Authors@R: c(person(given = "Zhirui", family = "Hu", role = "aut"),
             person(given = "Hyungsuk", family = "Tak", role = c("aut", "cre"),
                    email = "hyungsuk.tak@gmail.com"))
Author: Zhirui Hu [aut], Hyungsuk Tak [aut, cre]
Maintainer: Hyungsuk Tak <hyungsuk.tak@gmail.com>
Depends: R (>= 3.5.0)
Imports: MASS
Description: Provides tools for fitting and simulating univariate and
        multivariate damped random walk processes, also known as
        Ornstein-Uhlenbeck processes or first-order continuous-time
        autoregressive models, CAR(1) or CARMA(1, 0). The package
        supports irregularly spaced observation times, heteroscedastic
        measurement errors, missing measurements across multivariate
        time series, and polynomial mean trends in normalized time. The
        current implementation models up to ten time series jointly.
        Kalman filtering is used to evaluate the likelihood efficiently
        for maximum likelihood estimation and Bayesian posterior
        sampling. Users should preserve sufficient numerical precision
        when loading astronomical observation times; see the manual for
        details. Also see Hu and Tak (2020)
        <doi:10.48550/arXiv.2005.08049>.
License: GPL-2
Encoding: UTF-8
NeedsCompilation: no
Packaged: 2026-07-02 21:46:23 UTC; root
Repository: https://hyungsuktak.r-universe.dev
Date/Publication: 2026-07-02 05:40:02 UTC
RemoteUrl: https://github.com/cran/Rdrw
RemoteRef: HEAD
RemoteSha: 7abea6aad3e71f5db42bb7958ccc7e5e6bf4ab50