gmwm (2.0.0)

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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 about 2 years ago.

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