I've got an irregularly spaced time series with regressors. I've found the R packages cts and ctsem for continuous time series, but they don't allow for exogenous variables. Is it possible to have both features in the same model?
The documentation for ctsem says it can handle time-dependent and time-independent exogenous variables.
Here is some of the documentation, there is much more. Hierarchical Bayesian Continuous-Time Dynamic Modeling https://www.researchgate.net/publication/310747801_Hierarchical_Bayesian_Continuous_Time_Dynamic_Modeling
See page 6.
Subject level latent dynamic modelThe subject level dynamics are described by the stochastic diﬀerential equation:$$dη(t)=Aη(t)+b+Mχ(t)dt+GdW(t)$$ (1)
In Equation 1 the time-dependent predictors χ(t) represent exogenous inputs to the system, such as an intervention, that may vary over time and are independent of ﬂuctuations in the system