gen_rw

An <code>integer</code> for signal length.

A <code>double</code> that contains process variance.

sigma2

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.

gen_rw: Generate a random walk without drift

Description

Usage

Arguments

Value

Examples