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.
| Version: |
1.0.0 |
| Depends: |
ggplot2 |
| Imports: |
Rcpp (≥ 0.11.3), scales, grid, reshape2, gridExtra, devtools, utils, stats, methods, graphics, grDevices |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Suggests: |
testthat |
| Published: |
2015-11-06 |
| Author: |
James Balamuta [aut, cph],
Stephane Guerrier [ctb, cre, cph],
Roberto Molinari [ctb, cph],
Wenchao Yang [ctb] |
| Maintainer: |
Stephane Guerrier <stephane at illinois.edu> |
| BugReports: |
https://github.com/SMAC-Group/gmwm/issues |
| License: |
CC BY-NC-SA 4.0 |
| URL: |
https://github.com/SMAC-Group/gmwm |
| NeedsCompilation: |
yes |
| CRAN checks: |
gmwm results |