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.
☆30Updated last year
Alternatives and similar repositories for gmwm:
Users that are interested in gmwm are comparing it to the libraries listed below
- Kalman filtering via RcppArmadillo☆35Updated 4 years ago
- GARCH models estimated using autodiff.☆13Updated last month
- Time Series Analysis for the State-Space Model with R/Stan☆24Updated 3 years ago
- R Translation of the Python Marine Heat Waves Scripts (see Hobday et al., 2016).☆9Updated 6 years ago
- Bayesian Generalized Linear Models with Time-Varying Coefficients☆44Updated 4 months ago
- This R package provides the tools to perform standard and robust wavelet variance analysis for time series (signal processing). Among ot…☆17Updated last year
- Regression model building and forecasting in R☆31Updated this week
- Spatio-Temporal Generalised Linear Mixed Models For Areal Unit Data☆13Updated 2 years ago
- R package to conduct univariate and bivariate wavelet analyses☆44Updated 5 months ago
- The Fast Kalman Filter (FKF) package for R☆12Updated 4 months ago
- An R-Software package for multi-variate spatio-temporal modelling☆12Updated 2 years ago
- An R package for kernel density estimation with parametric starts and asymmetric kernels.☆14Updated 4 years ago
- scoring rules to evaluate probabilistic forecasts☆59Updated 4 months ago
- Multivariate Autoregressive State-Space Modeling with R☆52Updated 11 months ago
- Meshed GP for Bayesian spatial big data regression☆13Updated 5 months ago
- Compares various time-series feature sets on computational performance, within-set structure, and between-set relationships.☆11Updated 2 years ago
- Ensemble Empirical Mode Decomposition (EEMD) and Its Complete Variant (CEEMDAN)☆39Updated last year
- Fit stochastic differential equation models with time-varying parameters☆15Updated 7 months ago
- coordinate descent for penalized regression☆10Updated 6 years ago
- Automatic forecasting and Bayesian modeling for time series with Stan☆44Updated last year
- Bayesian Inference of State Space Models☆41Updated 4 months ago
- R Package for Probabilistic Forecast Combination☆14Updated 3 months ago
- Multivariate models for forecasting purposes☆9Updated 2 months ago
- R interface to the vinecopulib C++ library☆35Updated this week
- Boltzmann entropy of a landscape gradient☆18Updated 2 years ago
- Bayesian Multivariate GARCH☆17Updated 2 months ago
- An example of how to create an R package that utilizes C++ code that calls Fortran code☆12Updated last year
- Forecast uncertainty based on model averaging☆9Updated 3 years ago
- Disciplined Convex Programming in R using Convex.jl.☆14Updated 6 years ago
- Rcpp Bindings to FastAD Automatic Differentiation☆10Updated 3 months ago