get_theoretical_wv

Computes the theoretical WV implied by a model and parameter vector.

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_theoretical_wv function

<dl><dt>theta</dt>
<dd>Real-valued parameter vector (unconstrained).</dd>
<dt>model</dt>
<dd>A <code>time_series_model</code> or <code>sum_model</code>.</dd>
<dt>n</dt>
<dd>Length of autocovariance to compute.</dd>
<dt>wv_obj</dt>
<dd>Optional <code>wv::wvar</code> object (uses its scales).</dd>
<dt>tau</dt>
<dd>Optional vector of scales; overrides <code>wv_obj</code> if provided.</dd>
<dt>prep</dt>
<dd>Optional output from <code>prepare_optim_layout</code> for sum models.</dd></dl>

Arguments

Theoretical wavelet variance from model parameters — get_theoretical_wv

<dl>

<dt>theta</dt>
<dd>Real-valued parameter vector (unconstrained).</dd>


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


<dt>n</dt>
<dd>Length of autocovariance to compute.</dd>


<dt>wv_obj</dt>
<dd>Optional <code>wv::wvar</code> object (uses its scales).</dd>


<dt>tau</dt>
<dd>Optional vector of scales; overrides <code>wv_obj</code> if provided.</dd>


<dt>prep</dt>
<dd>Optional output from <code>prepare_optim_layout</code> for sum models.</dd>

</dl>

get_theoretical_wv: Theoretical wavelet variance from model parameters

Description

Usage

Value

Arguments