theta_ci

A <code>vec</code> containing the estimates

theta

A <code>mat</code> that is the first derivative matrix.

A <code>mat</code> that is the bootstrapped V matrix

v_hat

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

omega

A <code>double</code> that contains the confidence level.

alpha


Create an Asymptotic CI for the Theta Estimates.


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.

theta_ci: Generate the Confidence Interval for Theta Estimates

Description

Usage

Arguments

Value