arma_to_wv

A <code>vec</code> containing the coefficients of the AR process

A <code>vec</code> containing the coefficients of the MA process

A <code>vec</code> containing the scales e.g. 2^tau

A <code>double</code> containing the residual variance

sigma


This function computes the (haar) WV of an ARMA process


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.

arma_to_wv: ARMA process to WV

Description

Usage

Arguments

Value

See Also

Examples