derivative_first_matrix

This function computes each process to WV (haar) in a given model.

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

Time Series Analysis Tools

Stéphane Guerrier

James Balamuta

Roberto Molinari

Justin Lee

Lionel Voirol

Yuming Zhang

Wenchao Yang

Nathanael Claussen

Yunxiang Zhang

Christian Gunning

Romain Francois

Ross Ihaka

R Core Team 

derivative_first_matrix function

<dl><dt>theta</dt>
<dd>A <code>vec</code> containing the list of estimated parameters.</dd>
<dt>desc</dt>
<dd>A <code>vector&lt;string&gt;</code> containing a list of descriptors.</dd>
<dt>objdesc</dt>
<dd>A <code>field&lt;vec&gt;</code> containing a list of object descriptors.</dd>
<dt>tau</dt>
<dd>A <code>vec</code> containing the scales e.g. \(2^{\tau}\)</dd></dl>

Arguments

Author

Analytic D matrix of Processes — derivative_first_matrix

<dl>

<dt>theta</dt>
<dd>A <code>vec</code> containing the list of estimated parameters.</dd>


<dt>desc</dt>
<dd>A <code>vector&lt;string&gt;</code> containing a list of descriptors.</dd>


<dt>objdesc</dt>
<dd>A <code>field&lt;vec&gt;</code> containing a list of object descriptors.</dd>


<dt>tau</dt>
<dd>A <code>vec</code> containing the scales e.g. \(2^{\tau}\)</dd>

</dl>

Analytic D matrix of Processes

derivative_first_matrix: Analytic D matrix of Processes

Description

Usage

Value

Arguments

Author

Details