simts (version 0.2.2)

gmwm_update_cpp: Update Wrapper for the GMWM Estimator

Description

This function uses information obtained previously (e.g. WV covariance matrix) to re-estimate a different model parameterization

Usage

gmwm_update_cpp(
  theta,
  desc,
  objdesc,
  model_type,
  N,
  expect_diff,
  ranged,
  orgV,
  scales,
  wv,
  starting,
  compute_v,
  K,
  H,
  G,
  robust,
  eff
)

Value

A field<mat> that contains the parameter estimates from GMWM estimator.

Arguments

theta

A vec with dimensions N x 1 that contains user-supplied initial values for parameters

desc

A vector<string> indicating the models that should be considered.

objdesc

A field<vec> containing a list of parameters (e.g. AR(1) = c(1,1), ARMA(p,q) = c(p,q,1))

model_type

A string that represents the model transformation

scales

A vec that contains the scales or taus (2^(1:J))

starting

A bool that indicates whether we guessed starting (T) or the user supplied estimates (F).

Author

JJB

References

Wavelet variance based estimation for composite stochastic processes, S. Guerrier and Robust Inference for Time Series Models: a Wavelet-Based Framework, S. Guerrier