get_autocovariance

If <code>theta</code> is <code>NULL</code>, uses domain parameters stored in the model.
If <code>theta</code> is provided, it is treated as unconstrained parameters in
real space and mapped to the domain via the model's transformation.

internal

Implements the Generalized Method of Wavelet Moments with Exogenous Inputs estimator (GMWMX) presented in Voirol, L., Xu, H., Zhang, Y., Insolia, L., Molinari, R. and Guerrier, S. (2024) <doi:10.48550/arXiv.2409.05160>.
The GMWMX estimator allows to estimate functional and stochastic parameters of linear models with correlated residuals in presence of missing data.
The 'gmwmx2' package provides functions to load and plot Global Navigation Satellite System (GNSS) data from the Nevada Geodetic Laboratory and functions to estimate linear model model with correlated residuals in presence of missing data.

Lionel Voirol

gmwmx2

Estimate Functional and Stochastic Parameters of Linear Models
with Correlated Residuals and Missing Data

Haotian Xu

Yuming Zhang

Luca Insolia

Roberto Molinari

Stéphane Guerrier

get_autocovariance function

<dl><dt>object</dt>
<dd>A <code>time_series_model</code> or <code>sum_model</code>.</dd>
<dt>n</dt>
<dd>Length of autocovariance vector.</dd>
<dt>theta</dt>
<dd>Optional real-valued parameter vector for optimization.</dd>
<dt>prep</dt>
<dd>Optional output from <code>prepare_optim_layout</code> (required for sum models with <code>theta</code>).</dd>
<dt>...</dt>
<dd>Passed to methods.</dd></dl>

Arguments

Compute autocovariance for a model (internal) — get_autocovariance

<dl>

<dt>object</dt>
<dd>A <code>time_series_model</code> or <code>sum_model</code>.</dd>


<dt>n</dt>
<dd>Length of autocovariance vector.</dd>


<dt>theta</dt>
<dd>Optional real-valued parameter vector for optimization.</dd>


<dt>prep</dt>
<dd>Optional output from <code>prepare_optim_layout</code> (required for sum models with <code>theta</code>).</dd>


<dt>...</dt>
<dd>Passed to methods.</dd>

</dl>

get_autocovariance: Compute autocovariance for a model (internal)

Description

Usage

Value

Arguments