This function generates WV, GMWM Estimator, and an initial test estimate.
gmwm_master_cpp(
data,
theta,
desc,
objdesc,
model_type,
starting,
alpha,
compute_v,
K,
H,
G,
robust,
eff
)A field<mat> that contains a list of ever-changing estimates...
A vec containing the data.
A vec with dimensions N x 1 that contains user-supplied initial values for parameters
A vector<string> indicating the models that should be considered.
A field<vec> containing a list of parameters (e.g. AR(1) = c(1,1), ARMA(p,q) = c(p,q,1))
A string that represents the model transformation
A bool that indicates whether the supplied values are guessed (T) or are user-based (F).
A double that handles the alpha level of the confidence interval (1-alpha)*100
A string that describes what kind of covariance matrix should be computed.
An int that controls how many times theta is updated.
An int that controls how many bootstrap replications are done.
An int that controls how many guesses at different parameters are made.
A bool that indicates whether the estimation should be robust or not.
A double that specifies the amount of efficiency required by the robust estimator.
JJB
Wavelet variance based estimation for composite stochastic processes, S. Guerrier and Robust Inference for Time Series Models: a Wavelet-Based Framework, S. Guerrier