compute_cov_cpp

A <code>field&lt;vec&gt;</code> that contains the modwt decomposition.

signal_modwt

A <code>integer</code> that contains the level of decomposition J.

nb_level

A <code>string</code> that indicates what kind of matrix should be created. Possible options: "diag" or "none"

compute_v

A <code>boolean</code> that triggers the use of the robust estimate.

robust

A <code>double</code> that indicates the efficiency as it relates to an MLE.

Calculates the (MODWT) wavelet covariance matrix

internal

A system contains easy-to-use tools as a support for time series analysis courses. In particular, it incorporates a technique called Generalized Method of Wavelet Moments (GMWM) as well as its robust implementation for fast and robust parameter estimation of time series models which is described, for example, in Guerrier et al. (2013) <doi: 10.1080/01621459.2013.799920>. More details can also be found in the paper linked to via the URL below.

St<c3><a9>phane Guerrier

simts

compute_cov_cpp: Computes the (MODWT) wavelet covariance matrix

Description

Usage

Arguments

Value