gmwm-package: Generalized Method of Wavelet Moments (GMWM) Package
In schoi355/gmwm: Generalized Method of Wavelet Moments

gmwm-package

R Documentation

Generalized Method of Wavelet Moments (GMWM) Package

Description

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.

Details

Package:	GMWM
Type:	Package
Version:	3.0.0
Date:	2020-01-19
License:	CC BY-NC-SA 4.0

Financial Support

Primary support for this project was made possible by the Department of Statistics at the University of Illinois at Urbana-Champaign (UIUC). Furthermore, the contributions of undergraduate researcher Wenchao Yang for improving the visualization systems was supported, in part, by a grant from the Office of Undergraduate Research at UIUC. The project was mentored by Prof. Stephane Guerrier.

Acknowledgements

We would like to thank the following individuals for their contributions and advice in the development of the GMWM methodology:

Prof. Maria-Pia Victoria-Feser
Dr. Jan Skaloud
Dr. Yannick Stebler

Furthermore, we are also greatful to Dr. Jan Skaloud and Philipp Clausen of Geodetic Engineering Laboratory (TOPO), Swiss Federal Institute of Technology Lausanne (EPFL), topo.epfl.ch, Tel:+41(0)21 693 27 55 for providing data, which motivated the research and development of this package.