SMAC-Group/gmwm: Generalized Method of Wavelet Moments

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 standard time series and certain state-space models. Furthermore, there exists a robust implementation of GMWM, which allows the robust estimation of various state-space models and ARIMA models. Lastly, the package allows to easily generate complex time series data, perform different wavelet decompositions, and visualizations.

install.packages("remotes")
remotes::install_github("SMAC-Group/gmwm")