gmwm
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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...
Need to convert the ARIMA function into armadillo.
MAJOR: Fix omega matrix calculation to be uniform across all compute.v options E.g.. Fast: v -> omega -> theta_hat Bootstrap v -> omega -> theta_hat (repeat) -> theta_new Must be...
**Issue:** Need a black and white color scheme that differentiates different components on the ggplot2 graph. **Solution:** Try to use: - scale_fill_grey() or - theme_bw()
Add the ability to add moments into the GMWM process.
Create a function to produce a graph similar to Fig 3 (right panel) of http://www.alexchinco.com/fast-trading-priced-noise.pdf
Create a new function for the WV to produce graphs similar to the one presented in p. 60 of Wavelet Applications in Economics and Finance edited by Mauro Gallegati, Willi...
Simulate ARMA(2,2) and compare: 1) MLE 2) GMWM exact 3) GMWM guess 4) Robust GMWM guess 5) Robust GMWM exact Produce boxplots. Replicate results for: 1) ARMA(2,2) with 1% contaminated...
It would be interesting to implement the Slepian Wavelet Variance which can be applied to irregular and gappy time series. See http://arxiv.org/pdf/1401.1785v1.pdf
**Issue:** @HaotianXu discovered a bug on the WN() guessing feature:  Using: ``` r N = 80 # dyadic length of time series J = floor(log(N,2)) H = 1000 #...
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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...