loss_fn_gmwm

Computes the weighted squared error between empirical wavelet variance
and theoretical wavelet variance 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

loss_fn_gmwm function

<dl><dt>theta</dt>
<dd>Real-valued parameter vector.</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>prep</dt>
<dd>Output from <code>prepare_optim_layout</code>.</dd>
<dt>wv_obj</dt>
<dd>A <code>wv::wvar</code> object.</dd>
<dt>omega</dt>
<dd>Optional weighting matrix. If <code>NULL</code>, uses inverse CI width.</dd></dl>

Arguments

Loss function for GMWM optimization (internal) — loss_fn_gmwm

<dl>

<dt>theta</dt>
<dd>Real-valued parameter vector.</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>prep</dt>
<dd>Output from <code>prepare_optim_layout</code>.</dd>


<dt>wv_obj</dt>
<dd>A <code>wv::wvar</code> object.</dd>


<dt>omega</dt>
<dd>Optional weighting matrix. If <code>NULL</code>, uses inverse CI width.</dd>

</dl>

loss_fn_gmwm: Loss function for GMWM optimization (internal)

Description

Usage

Value

Arguments