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jlivsey / LatentGaussCounts

Modeling Integer-valued Time Series via Latent Gaussian Process

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Open jlivsey opened 6 years ago

jlivsey commented 6 years ago

[x] add SE's to gaussianLik optim routine
[ ] change way ACF of farima is calculated
[x] initialize AR models with YW instead of sample ACVF
[ ] causality conditions for gauss.series models (just set lik=\infty???)
[ ] add an argument to LCG that passes initial parameter estimates
[ ] add a boolean noest argument to LCG, which will just compute the likelihood at a given initial point
[ ] in negative binomial should we only allow n to be an integer?

kechagias commented 6 years ago

I initialized AR and MA models using inverse transform on the counts and then fitting ARMA--Added a sim example that seems to be working ok.