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.
☆33Apr 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
- 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 2 years ago
- Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations☆16Updated this week
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- Matlab library for Time Varying Parameter Vector Auto Regressions with Stochastic Volatility (Bayesian solution)☆13Jan 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 11 months ago
- Rcpp Bindings to FastAD Automatic Differentiation☆13Jan 19, 2026Updated 6 months ago
- R package to download Prof. Kenneth French data sets☆14Mar 22, 2024Updated 2 years ago
- 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 3 months ago
- Hierarchical Archimedean copulas for MATLAB and Octave☆16Feb 3, 2020Updated 6 years ago
- AI Agents on DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Sep 23, 2024Updated last year
- R Package to query CDC PLACES API Data☆17Jul 13, 2026Updated 3 weeks ago
- R package for sparse VAR estimation☆13Aug 4, 2026Updated last week
- R package to estimate time-varying coefficient regressions☆21Mar 11, 2026Updated 5 months ago
- A hybrid forecasting model that combines the Hilbert-Huang Transform and Multivariate Adaptive Regression Splines☆16Feb 7, 2019Updated 7 years ago
- Time Series Tools R package provides a series of tools to simulate, plot, estimate, select and forecast different time series models.☆15Mar 10, 2026Updated 5 months ago
- GARCH models estimated using autodiff.☆20May 23, 2026Updated 2 months ago
- 2nd place submission to the MEG decoding competition https://www.kaggle.com/c/decoding-the-human-brain☆18Aug 5, 2014Updated 12 years ago
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆19Apr 11, 2026Updated 4 months 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.
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Apr 14, 2016Updated 10 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☆85Updated this week
- R Wrapper for the Energy Information Administration (EIA) API☆12Sep 8, 2023Updated 2 years ago
- This R package provides the tools to perform standard and robust wavelet variance analysis for time series (signal processing). Among ot…☆17Oct 8, 2025Updated 10 months ago
- Shiny-based interactive time series forecasting☆19Jan 23, 2017Updated 9 years ago
- An R-package for obtaining real-time data from ALFRED database☆20Mar 21, 2023Updated 3 years ago
- Dynamic Factor Models for R☆46Jun 18, 2026Updated last month
- This repo has code to do primary data cleaning for Compustat / Crsp from WRDS☆22Jul 12, 2020Updated 6 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- 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☆12Apr 22, 2024Updated 2 years ago
- Multivariate Adaptive Regression Splines for Time Series Prediction☆19Jun 21, 2023Updated 3 years ago
- Methods for Temporal Disaggregation and Interpolation of Time Series☆42Nov 5, 2025Updated 9 months ago
- ☆13Mar 19, 2025Updated last year
- [ACL 2024] "Understanding and Patching Compositional Reasoning in LLMs"☆14Updated this week