This repository contains code for simulating and estimating Multivariate Continuous-time Autoregressive (MCAR) processes. For an overview of multivariate CAR(MA) processes, see Marquardt and Stelzer, 2007. The estimators implemented in this repository are primarily based on the methods developed in Lucchese et al., 2023.
The main methods are located in mcar.simulate and mcar.estimate. Examples of their usage can be found in the notebooks directory. Specifically:
mcar-simulation-study.ipynb: Contains code for a simulation study to evaluate the finite sample empirical properties of the estimators described in Lucchese et al., 2023.lightcurve-example.ipynb: Demonstrates an application to real data (an astrophysics light curve) analyzing the spectral properties of the observed time series.