model_score

A <code>mat</code> that contains the first derivatives of the processes

A <code>mat</code> that contains the omega used when calculating the GMWM

omega

A <code>mat</code> that contains the covariance matrix

v_hat

A <code>mat</code> that contains the second derivative of each process

At_j

A <code>vec</code> that is the difference of the WV empirical and WV theoretical

diff

Calculates the modeling score of a GMWM

internal

A system contains easy-to-use tools as a support for time series analysis courses. In particular, it incorporates a technique called Generalized Method of Wavelet Moments (GMWM) as well as its robust implementation for fast and robust parameter estimation of time series models which is described, for example, in Guerrier et al. (2013) <doi: 10.1080/01621459.2013.799920>. More details can also be found in the paper linked to via the URL below.

St<c3><a9>phane Guerrier

simts

model_score: Model Score

Description

Usage

Arguments

Value

Details