deriv_2nd_dr

<p>A <code>vec</code> containing the scales e.g. \(2^{\tau}\)</p>

<p>To ease a later calculation, we place the result into a matrix structure.</p>

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

Time Series Analysis Tools

James Balamuta

Roberto Molinari

Justin Lee

Yuming Zhang

Wenchao Yang

Nathanael Claussen

Yunxiang Zhang

Christian Gunning

Romain Francois

Ross Ihaka

R Core Team 

deriv_2nd_dr function

Analytic second derivative matrix for drift process — deriv_2nd_dr

Analytic second derivative matrix for drift process

deriv_2nd_dr: Analytic second derivative matrix for drift process

Description

Usage

Arguments

Value