gmwm (2.0.0)

0 users

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.

Maintainer: Stephane Guerrier
Author(s): James Balamuta [aut, cph], Stephane Guerrier [ctb, cre, cph], Roberto Molinari [ctb, cph], Wenchao Yang [ctb]

License: CC BY-NC-SA 4.0

Uses: ggplot2, Rcpp, reshape2, scales, testthat, knitr, rmarkdown

Released almost 4 years ago.

1 previous version



  (0 votes)


  (0 votes)

Log in to vote.


No one has written a review of gmwm yet. Want to be the first? Write one now.

Related packages:(20 best matches, based on common tags.)

Search for gmwm on google, google scholar, r-help, r-devel.

Visit gmwm on R Graphical Manual.