predict.gmwm

object

The data SAME EXACT DATA used in the GMWM estimation

data.in.gmwm

n.ahead


Creates a prediction using the estimated values of GMWM through the ARIMA function within R.


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.

predict.gmwm: Predict future points in the time series using the solution of the Generalized Method of Wavelet Moments

Description

Usage

Arguments

Value