gof_test

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 

gof_test function

<dl><dt>theta</dt>
<dd>A <code>vec</code> with dimensions N x 1 that contains user-supplied initial values for parameters</dd>
<dt>desc</dt>
<dd>A <code>vector&lt;string&gt;</code> indicating the models that should be considered.</dd>
<dt>objdesc</dt>
<dd>A <code>field&lt;vec&gt;</code> containing a list of parameters (e.g. AR(1) = c(1,1), ARMA(p,q) = c(p,q,1))</dd>
<dt>model_type</dt>
<dd>A <code>string</code> that contains the model type: <code>"imu"</code> or <code>"ssm"</code></dd>
<dt>tau</dt>
<dd>A <code>vec</code> containing the scales of a proccess.</dd>
<dt>v_hat</dt>
<dd>A <code>mat</code> that contains the bootstrapped matrix.</dd>
<dt>wv_empir</dt>
<dd>A <code>vec</code> that contains the empirical wavelet variance.</dd></dl>

Arguments

Compute the GOF Test — gof_test

<dl>

<dt>theta</dt>
<dd>A <code>vec</code> with dimensions N x 1 that contains user-supplied initial values for parameters</dd>


<dt>desc</dt>
<dd>A <code>vector&lt;string&gt;</code> indicating the models that should be considered.</dd>


<dt>objdesc</dt>
<dd>A <code>field&lt;vec&gt;</code> containing a list of parameters (e.g. AR(1) = c(1,1), ARMA(p,q) = c(p,q,1))</dd>


<dt>model_type</dt>
<dd>A <code>string</code> that contains the model type: <code>"imu"</code> or <code>"ssm"</code></dd>


<dt>tau</dt>
<dd>A <code>vec</code> containing the scales of a proccess.</dd>


<dt>v_hat</dt>
<dd>A <code>mat</code> that contains the bootstrapped matrix.</dd>


<dt>wv_empir</dt>
<dd>A <code>vec</code> that contains the empirical wavelet variance.</dd>

</dl>

Compute the GOF Test

gof_test: Compute the GOF Test

Description

Usage

Value

Arguments