gmwm: Generalized Method of Wavelet Moments
Version 2.0.0

Generalized Method of Wavelet Moments (GMWM) is an estimation technique for the parameters of time series models. It uses the wavelet variance in a moment matching approach that makes it particularly suitable for the estimation of certain state-space models. Furthermore, there exists a robust implementation of GMWM, which allows the robust estimation of some state-space models and ARIMA models. Lastly, the package provides the ability to quickly generate time series data, perform different wavelet decompositions, and visualizations.

Package details

AuthorJames Balamuta [aut, cph], Stephane Guerrier [ctb, cre, cph], Roberto Molinari [ctb, cph], Wenchao Yang [ctb]
Date of publication2016-02-10 09:11:13
MaintainerStephane Guerrier <>
LicenseCC BY-NC-SA 4.0
Package repositoryView on CRAN
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gmwm documentation built on April 14, 2017, 4:38 p.m.