theta_ci

Create an Asymptotic CI for the Theta Estimates.

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

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 

theta_ci function

<dl><dt>theta</dt>
<dd>A <code>vec</code> containing the estimates</dd>
<dt>A</dt>
<dd>A <code>mat</code> that is the first derivative matrix.</dd>
<dt>v_hat</dt>
<dd>A <code>mat</code> that is the bootstrapped V matrix</dd>
<dt>omega</dt>
<dd>A <code>mat</code> that is the inverse of the diagonal V matrix.</dd>
<dt>alpha</dt>
<dd>A <code>double</code> that contains the confidence level.</dd></dl>

Arguments

Generate the Confidence Interval for Theta Estimates — theta_ci

<dl>

<dt>theta</dt>
<dd>A <code>vec</code> containing the estimates</dd>


<dt>A</dt>
<dd>A <code>mat</code> that is the first derivative matrix.</dd>


<dt>v_hat</dt>
<dd>A <code>mat</code> that is the bootstrapped V matrix</dd>


<dt>omega</dt>
<dd>A <code>mat</code> that is the inverse of the diagonal V matrix.</dd>


<dt>alpha</dt>
<dd>A <code>double</code> that contains the confidence level.</dd>

</dl>

Generate the Confidence Interval for Theta Estimates

theta_ci: Generate the Confidence Interval for Theta Estimates

Description

Usage

Value

Arguments