Generalized Method of Wavelet Moments (GMWM) is an estimation technique for the parameters of time series models. It uses the wavelet variance in a moment matching approach that makes it particularly suitable for the estimation of certain state-space models. Furthermore, there exists a robust implementation of GMWM, which allows the robust estimation of some state-space models and ARIMA models. Lastly, the package provides the ability to quickly generate time series data, perform different wavelet decompositions, and visualizations.

Maintainer: Stephane Guerrier <stephane at illinois.edu>

Author(s): James Balamuta*, Stephane Guerrier*, Roberto Molinari*, Wenchao Yang*

Install package and any missing dependencies by running this line in your R console:

install.packages("gmwm")

Depends R (>= 3.2), ggplot2
Imports Rcpp(>=0.12.2), scales, grid, reshape2, utils, stats, methods, graphics, grDevices
Suggests testthat, knitr, rmarkdown, imudata
Enhances
Linking to Rcpp, RcppArmadillo
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Package gmwm
Materials
URL https://github.com/SMAC-Group/gmwm
Task Views
Version 2.0.0
Published 2016-02-10
License CC BY-NC-SA 4.0
BugReports https://github.com/SMAC-Group/gmwm/issues
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks gmwm check results
Package source gmwm_2.0.0.tar.gz