opt_n_gof_bootstrapper

Using the bootstrap approach, we simulate a model based on user supplied parameters, obtain the wavelet variance, and then V.

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 

opt_n_gof_bootstrapper function

<dl><dt>theta</dt>
<dd>A <code>vector</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> that contains an object description (e.g. values) of the model.</dd>
<dt>scales</dt>
<dd>A <code>vec</code> containing the scales of the process.</dd>
<dt>model_type</dt>
<dd>A <code>string</code> containing the model type either: SSM or IMU</dd>
<dt>N</dt>
<dd>A <code>int</code> indicating how long the integer is.</dd>
<dt>robust</dt>
<dd>A <code>bool</code> indicating robust (T) or classical (F).</dd>
<dt>eff</dt>
<dd>A <code>double</code> that handles efficiency.</dd>
<dt>H</dt>
<dd>A <code>int</code> that indicates how many bootstraps should be obtained.</dd></dl>

Arguments

Author

Bootstrap for Optimism and GoF — opt_n_gof_bootstrapper

<dl>

<dt>theta</dt>
<dd>A <code>vector</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> that contains an object description (e.g. values) of the model.</dd>


<dt>scales</dt>
<dd>A <code>vec</code> containing the scales of the process.</dd>


<dt>model_type</dt>
<dd>A <code>string</code> containing the model type either: SSM or IMU</dd>


<dt>N</dt>
<dd>A <code>int</code> indicating how long the integer is.</dd>


<dt>robust</dt>
<dd>A <code>bool</code> indicating robust (T) or classical (F).</dd>


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


<dt>H</dt>
<dd>A <code>int</code> that indicates how many bootstraps should be obtained.</dd>

</dl>

Bootstrap for Optimism and GoF

opt_n_gof_bootstrapper: Bootstrap for Optimism and GoF

Description

Usage

Value

Arguments

Author

Details