Online estimation methods for the irregularly observed autoregressive (iAR) model
Project description
Data sets, functions and scripts with examples to implement online estimation methods for the irregularly observed autoregressive (iAR) model (Eyheramendy et al.(2018) <doi:10.1093/mnras/sty2487>). The online learning algorithms implemented are: gradient descent (IAR_OGD), Newton-step (IAR-ONS) and Kalman filter recursions (IAR-OBR).
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