B_matrix

A <code>mat</code> containing the first derivatives of the process.

A <code>mat</code> containing A^T * Omega

at_omega

internal

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.

B_matrix: B Matrix

Description

Usage

Arguments

Value