gmwm_update_cpp: Update Wrapper for the GMWM Estimator

In simts: Time Series Analysis Tools

Update Wrapper for the GMWM Estimator

Description

This function uses information obtained previously (e.g. WV covariance matrix) to re-estimate a different model parameterization

Usage

gmwm_update_cpp(
  theta,
  desc,
  objdesc,
  model_type,
  N,
  expect_diff,
  ranged,
  orgV,
  scales,
  wv,
  starting,
  compute_v,
  K,
  H,
  G,
  robust,
  eff
)

Arguments

theta	A vec with dimensions N x 1 that contains user-supplied initial values for parameters
desc	A vector<string> indicating the models that should be considered.
objdesc	A field<vec> containing a list of parameters (e.g. AR(1) = c(1,1), ARMA(p,q) = c(p,q,1))
model_type	A string that represents the model transformation
scales	A vec that contains the scales or taus (2^(1:J))
starting	A bool that indicates whether we guessed starting (T) or the user supplied estimates (F).

Value

A field<mat> that contains the parameter estimates from GMWM estimator.

Author(s)

JJB

References

Wavelet variance based estimation for composite stochastic processes, S. Guerrier and Robust Inference for Time Series Models: a Wavelet-Based Framework, S. Guerrier

simts documentation built on Aug. 31, 2023, 5:07 p.m.