Generalized Method of Wavelet Moments (GMWM) is an estimation technique for the parameters of time series models. It uses the wavelet variance in a moment matching approach that makes it particularly suitable for the estimation of certain state-space models.
☆34Apr 25, 2025Updated last year
Alternatives and similar repositories for gmwm
Users that are interested in gmwm are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Econometric Analysis of Explosive Time Series☆32Updated this week
- ☆10Jan 26, 2025Updated last year
- statespacer: State Space Modelling in R☆17Jan 27, 2023Updated 3 years ago
- Vector wavelet coherence for multiple time series☆14Jan 8, 2021Updated 5 years ago
- BLS API V2 interface☆17Oct 2, 2023Updated 3 years ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations☆16Aug 21, 2026Updated last month
- Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)☆14Jan 11, 2018Updated 8 years ago
- API Client for US Treasury Fiscal Data☆10Jan 28, 2024Updated 2 years ago
- Estimating Dynamic Common Correlated Effects Models in Stata☆32Aug 15, 2025Updated last year
- Welcome to the 2024 Sports Hackdays. In order to gain acccess to challenge specific repos, please first star this empty repo!☆21Sep 24, 2024Updated 2 years ago
- When Expectations Meet Reality: Realistic Unit Testing in R☆12Jul 11, 2024Updated 2 years ago
- Rcpp Bindings to FastAD Automatic Differentiation☆13Oct 1, 2026Updated last week
- Tigramite is a time series analysis python module for linear and information-theoretic causal inference. Version 3.0 described in http://…☆33Apr 25, 2017Updated 9 years ago
- R package to download Prof. Kenneth French data sets☆14Mar 22, 2024Updated 2 years ago
- End-to-end encrypted email - Proton Mail • AdSpecial offer: 40% Off Yearly / 80% Off First Month. All Proton services are open source and independently audited for security.
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆15Apr 17, 2021Updated 5 years ago
- Tools to construct canonical and regular vines. StarVine can also be used as a bivariate copula fitting tool.☆15Oct 19, 2020Updated 5 years ago
- Economics and Pricing in R☆63May 11, 2026Updated 4 months ago
- Hierarchical Archimedean copulas for MATLAB and Octave☆16Feb 3, 2020Updated 6 years ago
- R Package to query CDC PLACES API Data☆17Jul 13, 2026Updated 2 months ago
- R package for sparse VAR estimation☆13Aug 4, 2026Updated 2 months ago
- R package to estimate time-varying coefficient regressions☆21Mar 11, 2026Updated 6 months ago
- A hybrid forecasting model that combines the Hilbert-Huang Transform and Multivariate Adaptive Regression Splines☆16Feb 7, 2019Updated 7 years ago
- R Interface to the Geo-Information Platform of the Swiss Confederation☆21Nov 21, 2022Updated 3 years ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- Time Series Tools R package provides a series of tools to simulate, plot, estimate, select and forecast different time series models.☆15Mar 10, 2026Updated 6 months ago
- GARCH models estimated using autodiff.☆20Sep 21, 2026Updated 2 weeks ago
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆20Apr 11, 2026Updated 5 months ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Apr 14, 2016Updated 10 years ago
- The Fast Kalman Filter (FKF) package for R☆14Sep 3, 2024Updated 2 years ago
- Prototype code for paper: Adversarial Generalized Method of Moments, Greg Lewis and Vasilis Syrgkanis☆13Oct 21, 2020Updated 5 years ago
- MSGARCH R Package☆85Aug 20, 2026Updated last month
- This R package provides the tools to perform standard and robust wavelet variance analysis for time series (signal processing). Among ot…☆17Oct 8, 2025Updated last year
- Shiny-based interactive time series forecasting☆18Jan 23, 2017Updated 9 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Method developed by Tiago Dantas and Fernando Cyrino Oliveira that combines Bagging, Clusters and ETS to produce highly accurate time ser…☆11Jul 12, 2019Updated 7 years ago
- Dynamic Factor Models for R☆48Jun 18, 2026Updated 3 months ago
- This repo has code to do primary data cleaning for Compustat / Crsp from WRDS☆22Jul 12, 2020Updated 6 years ago
- R-package: Bayesian variable selection, model choice, and regularized estimation for (spatial) generalized additive mixed regression …☆14Oct 22, 2024Updated last year
- Generalized Transfer Entropy analysis for model-free network reconstruction.☆31Nov 17, 2020Updated 5 years ago
- An R package for causal discovery in heavy-tailed models☆12Sep 30, 2026Updated last week
- Multivariate Adaptive Regression Splines for Time Series Prediction☆19Jun 21, 2023Updated 3 years ago