gmwm-package: Generalized Method of Wavelet Moments (GMWM) Package
Description
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.
Financial Support
Primary support for this project was made possible by the Department of Statistics at the University of Illinois at Urbana-Champaign (UIUC). Furthermore, the contributions of undergraduate researcher Wenchao Yang for improving the visualization systems was supported, in part, by a grant from the Office of Undergraduate Research at UIUC. The project was mentored by Prof. Stephane Guerrier.Acknowledgements
We would like to thank the following individuals for their contributions and advice in the development of the GMWM methodology:
- Prof. Maria-Pia Victoria-Feser
- Dr. Jan Skaloud
- Dr. Yannick Stebler
Furthermore, we are also greatful to Dr. Jan Skaloud and Philipp Clausen of Geodetic Engineering Laboratory (TOPO), Swiss Federal Institute of Technology Lausanne (EPFL), topo.epfl.ch, Tel:+41(0)21 693 27 55 for providing data, which motivated the research and development of this package.Details
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Package: |
| GMWM |
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Type: |
| Package |
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Version: |
| 1.0.1 |
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Date: |
| 2015-12-28 |
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License: |
| CC BY-NC-SA 4.0 |