update.gmwm: Update (Robust) GMWM object for IMU or SSM

View source: R/gmwm.r

update.gmwmR Documentation

Update (Robust) GMWM object for IMU or SSM

Description

Provides a way to estimate different models over the previously estimated wavelet variance values and covariance matrix.

Usage

## S3 method for class 'gmwm'
update(object, model, ...)

Arguments

object

A gmwm object.

model

A ts.model object containing one of the allowed models

...

Additional parameters (not used)

Value

A gmwm object with the structure:

  • estimateEstimated Parameters Values from the GMWM Procedure

  • init.guessInitial Starting Values given to the Optimization Algorithm

  • wv.empirThe data's empirical wavelet variance

  • ci_lowLower Confidence Interval

  • ci_highUpper Confidence Interval

  • orgVOriginal V matrix

  • VUpdated V matrix (if bootstrapped)

  • omegaThe V matrix inversed

  • obj.funValue of the objective function at Estimated Parameter Values

  • theoSummed Theoretical Wavelet Variance

  • decomp.theoDecomposed Theoretical Wavelet Variance by Process

  • scalesScales of the GMWM Object

  • robustIndicates if parameter estimation was done under robust or classical

  • effLevel of efficiency of robust estimation

  • model.typeModels being guessed

  • compute.vType of V matrix computation

  • augmentedIndicates moments have been augmented

  • alphaAlpha level used to generate confidence intervals

  • expect.diffMean of the First Difference of the Signal

  • NLength of the Signal

  • GNumber of Guesses Performed

  • HNumber of Bootstrap replications

  • KNumber of V matrix bootstraps

  • modelts.model supplied to gmwm

  • model.hatA new value of ts.model object supplied to gmwm

  • startingIndicates whether the procedure used the initial guessing approach

  • seedRandomization seed used to generate the guessing values

  • freqFrequency of data


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