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

In schoi355/gmwm: Generalized Method of Wavelet Moments

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)

Details

The motive behind this function is to allow for reuse of the gmwm object's computation of the wavelet variance and covariance matrix. The function permits this by allowing for the underlying time series model to be changed at will. As a result, the function is particular useful for working with large time series objects. Alternatively, one can also use this function to supply a custom diagonal weighting matrix by modifying the gmwm object.

Value

A gmwm object with the structure:

estimate

Estimated Parameters Values from the GMWM Procedure

init.guess

Initial Starting Values given to the Optimization Algorithm

wv.empir

The data's empirical wavelet variance

ci.low

Lower Confidence Interval

ci.high

Upper Confidence Interval

orgV

Original V matrix

V

Updated V matrix (if bootstrapped)

omega

The V matrix inversed

obj.fun

Value of the objective function at Estimated Parameter Values

theo

Summed Theoretical Wavelet Variance

decomp.theo

Decomposed Theoretical Wavelet Variance by Process

scales

Scales of the GMWM Object

robust

Indicates if parameter estimation was done under robust or classical

eff

Level of efficiency of robust estimation

model.type

Models being guessed

compute.v

Type of V matrix computation

augmented

Indicates moments have been augmented

alpha

Alpha level used to generate confidence intervals

expect.diff

Mean of the First Difference of the Signal

N

Length of the Signal

G

Number of Guesses Performed

H

Number of Bootstrap replications

K

Number of V matrix bootstraps

model

ts.model supplied to gmwm

model.hat

A new value of ts.model object supplied to gmwm

starting

Indicates whether the procedure used the initial guessing approach

seed

Randomization seed used to generate the guessing values

freq

Frequency of data

Examples

# AR
set.seed(1336)
n = 200
exact.model = AR1(phi=.99, sigma2 = 0.01) + WN(sigma2=1)
data = gen_gts(n, exact.model)

# Create an initial model that is not accurate
bad.model = gmwm(AR1(), data = data)

# Models can contain specific parameters e.g.
updated.model = update(bad.model, exact.model)

# Or...
updated.model.guided = update(bad.model, AR1()+AR1())

schoi355/gmwm documentation built on April 11, 2022, 1:21 a.m.