gmwm: 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.

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>
License: CC BY-NC-SA 4.0
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:, r-release:, r-oldrel:
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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