getObjFun

A <code>vec</code> with dimensions N x 1 that contains user-supplied initial values for parameters

theta

A <code>vector<string></string></code> indicating the models that should be considered.

desc

A <code>field<vec></vec></code> containing a list of parameters (e.g. AR(1) = c(1,1), ARMA(p,q) = c(p,q,1))

objdesc

A <code>string</code> containing the model type. Either 'imu' or 'ssm'

model_type

A <code>mat</code> that is the inverse of the diagonal of the V matrix.

omega

A <code>vec</code> containing the empirical wavelet variance.

wv_empir

A <code>vec</code> that contains the scales of 2^(1:J), where J is the number of scales created by the decomposition.


Obtains the GMWM starting value given by Yannick's objective function optimization


internal

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.

getObjFun: Retrieve GMWM starting value from Yannick's objective function

Description

Usage

Arguments

Value