diff_cpp

A <code>vec</code> that is the time series

A <code>unsigned int</code> that indicates the lag

A <code>dif</code> that indicates how many differences should be taken

differences


Returns the ith difference of a time series of rth lag.


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.

diff_cpp: Lagged Differences in Armadillo

Description

Usage

Arguments

Value

Examples