Usage
auto_imu(data, combs, full_model, alpha, compute_v, model_type, K, H, G, robust, eff, bs_optimism)
Arguments
data
A mat containing multiple columns of independent data with the same number of observations.
full_model
A vector that contains the largest / full model.
alpha
A double that indicates the alpha level for CIs.
compute_v
A string indicating the type of V matrix to generate
model_type
A string that describes the model generation / transformation: 'ssm' or 'imu'
K
A int that controls how many times the GMWM is run.
H
A int that controls how many bootstraps occur.
G
A int that controls how many guesses occur.
robust
A bool that indicates whether to use classical or robust wavelet variance.
eff
A double that indicates the efficiency to use.
bs_optimism
A bool that indicates whether the model selection score should be calculated with bootstrap or asymptotics.
model_str
A vector> that gives a list of models to test.