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 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.

Getting started

Package details

MaintainerStephane Guerrier <[email protected]>
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
SMAC-Group/gmwm documentation built on Oct. 31, 2018, 4:28 p.m.