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: | 2.0.0 |
| Depends: | R (≥ 3.2), ggplot2 |
| Imports: | Rcpp (≥ 0.12.2), scales, grid, reshape2, utils, stats, methods, graphics, grDevices |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | testthat, knitr, rmarkdown, imudata |
| Published: | 2016-02-10 |
| 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 |
| Citation: | gmwm citation info |
| CRAN checks: | gmwm results |
| Reference manual: | gmwm.pdf |
| Vignettes: |
Analytical Derivatives for Haar Wavelet Variance IMU Objects in the GMWM R Package Quick Start Guide for the GMWM R Package Quick Start Guide for the GMWM R Package |
| Package source: | gmwm_2.0.0.tar.gz |
| Windows binaries: | r-devel: gmwm_2.0.0.zip, r-release: gmwm_2.0.0.zip, r-oldrel: gmwm_2.0.0.zip |
| OS X Mavericks binaries: | r-release: gmwm_2.0.0.tgz, r-oldrel: gmwm_2.0.0.tgz |
| Old sources: | gmwm archive |
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