SMAC-Group / gmwm
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.
☆28Updated 9 months ago
Related projects: ⓘ
- Kalman filtering via RcppArmadillo☆35Updated 4 years ago
- Bayesian Multivariate GARCH☆16Updated 9 months ago
- Bayesian Inference of State Space Models☆42Updated last week
- This R package provides the tools to perform standard and robust wavelet variance analysis for time series (signal processing). Among ot…☆15Updated last year
- Bayesian Generalized Linear Models with Time-Varying Coefficients☆45Updated 3 weeks ago
- Nonlinear time series analysis in R☆35Updated 5 months ago
- The Fast Kalman Filter (FKF) package for R☆11Updated 2 weeks ago
- ☆37Updated this week
- Regression model building and forecasting in R☆30Updated this week
- Ensemble Empirical Mode Decomposition (EEMD) and Its Complete Variant (CEEMDAN)☆37Updated last year
- R package for autoregressive, reduced-rank, and factor models in time series.☆15Updated 4 months ago
- Additive quantile regression R package☆30Updated 2 weeks ago
- R Package For Calling Matlab Through System☆13Updated 10 months ago
- Rcpp integration for the NT2 scientific computing library☆12Updated 4 years ago
- Time Series Analysis for the State-Space Model with R/Stan☆22Updated 2 years ago
- Data sets from "Forecasting: methods and applications" by Makridakis, Wheelwright & Hyndman (1998)☆18Updated 10 months ago
- R package for fast rolling and expanding linear regression models☆21Updated 2 years ago
- Echo State Networks for Time Series Forecasting☆10Updated 3 weeks ago
- R package that provides an implementation of the generic adaptive Monte Carlo Markov chain sampler proposed by Vihola (2011).☆9Updated 7 months ago
- Rcpp port of Differential Evolution☆14Updated 6 months ago
- Bayesian DFA with Stan☆28Updated 6 months ago
- Rcpp Example for accessing NLopt☆13Updated 2 months ago
- Short course on dimension reduction for AMSI☆36Updated last year
- R Package for Probabilistic Forecast Combination☆13Updated 5 months ago
- Time varying vector autoregressive state space modeling of community interactions in a Bayesian framework☆10Updated 2 years ago
- Automatic forecasting and Bayesian modeling for time series with Stan☆44Updated 8 months ago
- Fast methods for multivariate normal distributions☆33Updated last year
- R package for Bayesian inference with state-space models using LibBi.☆24Updated 3 months ago
- Multivariate Autoregressive State-Space Modeling with R☆51Updated 7 months ago
- An R package for kernel density estimation with parametric starts and asymmetric kernels.☆14Updated 3 years ago