Provides tools for fitting continuous-time autoregressive (CAR) and complex CAR (CZAR) models for irregularly sampled time series using an exact Gaussian state-space formulation and Kalman filtering/smoothing. Implements maximum-likelihood estimation with stable parameterizations of characteristic roots, model selection via AIC, residual and spectral diagnostics, forecasting and simulation, and extraction of fitted state estimates. Methods are described in Wang (2013) <doi:10.18637/jss.v053.i05>.
| Version: | 1.0-24 |
| Suggests: | R.rsp |
| Published: | 2026-03-17 |
| DOI: | 10.32614/CRAN.package.cts |
| Author: | Granville Tunnicliffe-Wilson [aut] (Fortran code), Zhu Wang [cre, aut] (Fortran code, R port, updates, and maintainer), Cleve Moler [ctb, cph] (LINPACK routines in src/d*), Jack Dongarra [ctb, cph] (LINPACK routines via Netlib), Jim Bunch [ctb, cph] (LINPACK routines), G. W. Stewart [ctb, cph] (LINPACK routines), John Nash [ctb] |
| Maintainer: | Zhu Wang <zwang145 at uthsc.edu> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| Copyright: | see file COPYRIGHTS |
| NeedsCompilation: | yes |
| Citation: | cts citation info |
| Materials: | README, NEWS |
| CRAN checks: | cts results |
| Reference manual: | cts.html , cts.pdf |
| Vignettes: |
An Introduction to cts (source) |
| Package source: | cts_1.0-24.tar.gz |
| Windows binaries: | r-devel: not available, r-release: not available, r-oldrel: not available |
| macOS binaries: | r-release (arm64): not available, r-oldrel (arm64): not available, r-release (x86_64): not available, r-oldrel (x86_64): not available |
| Old sources: | cts archive |
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