WhittleLikelihoodInference Package

The WhittleLikelihoodInference package provides an efficient implementation of the Whittle likelihood and debiased Whittle likelihood for univariate and multivariate time series. Features include:

• Simulating Gaussian processes with a given autocovariance.
• Whittle likelihood and computation of gradient and Hessian (including with an arbitrary taper).
• Debiased Whittle likelihood and computation of gradient, Hessian and expected Hessian (including with an arbitrary taper).
• Plotting recipes for second-order properties of interest, including the spectral density function and autocovariance.
• Approximation of the autocovariance from the spectral density function (and for gradients and Hessians).
• Example models including 1D OU and 1D Matérn, 2D correlated OU process and arbitrary dimensional Matérn.
• Basic non-parametric estimators including the Periodogram and Bartlett's method with plotting recipes.