compute_cov_cpp

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

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 

compute_cov_cpp function

<dl><dt>signal_modwt</dt>
<dd>A <code>field&lt;vec&gt;</code> that contains the modwt decomposition.</dd>
<dt>nb_level</dt>
<dd>A <code>integer</code> that contains the level of decomposition J.</dd>
<dt>compute_v</dt>
<dd>A <code>string</code> that indicates what kind of matrix should be created. Possible options: "diag" or "none"</dd>
<dt>robust</dt>
<dd>A <code>boolean</code> that triggers the use of the robust estimate.</dd>
<dt>eff</dt>
<dd>A <code>double</code> that indicates the efficiency as it relates to an MLE.</dd></dl>

Arguments

Computes the (MODWT) wavelet covariance matrix — compute_cov_cpp

<dl>

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


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


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


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


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

</dl>

Computes the (MODWT) wavelet covariance matrix

compute_cov_cpp: Computes the (MODWT) wavelet covariance matrix

Description

Usage

Value

Arguments