fast_cov_cpp

A <code>vec</code> that contains the upper confidence interval points.

ci_hi

A <code>vec</code> that contains the lower confidence interval points.

ci_lo


Calculates the (MODWT) wavelet covariance matrix using Chi-square confidence interval bounds


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.

fast_cov_cpp: Computes the (MODWT) wavelet covariance matrix using Chi-square confidence interval bounds

Description

Usage

Arguments

Value

Examples