ci_eta3_robust

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

Time Series Analysis Tools

Stéphane Guerrier

James Balamuta

Roberto Molinari

Justin Lee

Lionel Voirol

Yuming Zhang

Wenchao Yang

Nathanael Claussen

Yunxiang Zhang

Christian Gunning

Romain Francois

Ross Ihaka

R Core Team 

ci_eta3_robust function

<dl><dt>wv_robust</dt>
<dd>A <code>vec</code> that computes the brickwalled modwt dot product of each wavelet coefficient divided by their length.</dd>
<dt>wv_ci_class</dt>
<dd>A <code>mat</code> that contains the CI mean, CI Lower, and CI Upper</dd>
<dt>alpha_ov_2</dt>
<dd>A <code>double</code> that indicates the \(\left(1-p\right)*\alpha\) confidence level</dd>
<dt>eff</dt>
<dd>A <code>double</code> that indicates the efficiency.</dd></dl>

Arguments

Generate eta3 robust confidence interval — ci_eta3_robust

<dl>

<dt>wv_robust</dt>
<dd>A <code>vec</code> that computes the brickwalled modwt dot product of each wavelet coefficient divided by their length.</dd>


<dt>wv_ci_class</dt>
<dd>A <code>mat</code> that contains the CI mean, CI Lower, and CI Upper</dd>


<dt>alpha_ov_2</dt>
<dd>A <code>double</code> that indicates the \(\left(1-p\right)*\alpha\) confidence level</dd>


<dt>eff</dt>
<dd>A <code>double</code> that indicates the efficiency.</dd>

</dl>

Generate eta3 robust confidence interval

ci_eta3_robust: Generate eta3 robust confidence interval

Description

Usage

Value

Arguments

Details