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SMAC-Group
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...
Hi, When I use the RStudio to open the gmwm.Rproj and attempt to install gmwm into my PC, an ERROR occurs: "dependency 'bmisc' is not available for package 'gmwm' "....
Hello, I am using this awesome function: `compare.gmwm(estimated_model_one, estimated_model_two, estimated_model_three, split = FALSE)` Unfortunately this line of code gives me an error, as I can only provide 2 models at...
GMWM+
Hi, Regarding the GMWM+, it is consists in the adding of some standard moments (mean, autocovariance) to the WV vector. How this could be achieved in terms of R studio...
The objective of this issue is to highlight the work necessary to change the underlying structure of the GMWM package so that it is more flexible for future extensions. Principally,...
Support the following covariance matrix options: 1. full (missing)  2. diag using full (missing) 3. diag using fft (presently implemented) 4. fast (default)
Hello I have a dataset at a certain frequency. The resulting plot of ``` r gmwm(gmwm_model, imu_object, freq = 200, robust = FALSE, seed = 1) ``` is different from...
# Change Switching default scale calculation from: nlevels = floor(log2(N)) to nlevels = floor(log2(N)) - 1 # Effect 32 obs instead of having 5 scales (where the last one is...
Per SMAC-Group/TTS#18, From @stephaneguerrier: > @coatless could you please add the functionality we discussed today to compare robust and classical ACF. What I propose it a function ACF(..... , estimator...
As multivariate time series come into play, there needs to be a way to internally represents them. The best way forward is probably to generalize `imu` as it already has...
There are way too many copy and paste code overlaps between the two c.f. 49f56d12c7aba0c6f99ab7116c3645e7d98bcb90 and 99c8226090352c0023785ce69edf220d1ec69eed. This is not very efficient. There also needs to be a better way...
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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...