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GitHub / SMAC-Group / gmwm
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.
JSON API: https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/SMAC-Group%2Fgmwm
Stars: 28
Forks: 14
Open Issues: 70
License: other
Language: R
Repo Size: 50.7 MB
Dependencies:
15
Created: over 9 years ago
Updated: 3 months ago
Last pushed: 6 months ago
Last synced: about 2 months ago
Topics: armadillo, r, rcpp, robust, time-series, wavelet-variance