search

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.
Other
28 stars 14 forks source link

Hadamard & Total Variance #104

Open coatless opened 8 years ago

coatless commented 8 years ago

Feature

We currently only have support for the allan variance and the wavelet variance. It would be nice to add in the Hadamard and Total Variance. See: Handbook of Frequency Analysis for more details.

(Secondary, non-pdf source: http://www.wriley.com/paper4ht.htm )

coatless commented 8 years ago

@stephaneguerrier please add paper reference

coatless commented 8 years ago

@avinash2692 ETA on this?

avinash2692 commented 8 years ago

Hey James , Should be in by tomorrow night

Avinash

coatless commented 8 years ago

PR Tonight @avinash2692 ?

avinash2692 commented 8 years ago

Yup , should be in tonight , wv_filters() should be on by late afternoon for pull.

coatless commented 8 years ago

@avinash2692

Friday sound good?

coatless commented 8 years ago

Missing hadamard total variance.

avinash2692 commented 8 years ago

Working on it , will have it pushed in a couple of days

Avinash

coatless commented 8 years ago

Wednesday or Thursday then?

Also, look at #154 for issues that were debugged.

avinash2692 commented 8 years ago

Yes , will be done then

Avinash

coatless commented 8 years ago

@avinash2692 still on track for a commit tonight?

avinash2692 commented 8 years ago

Yup, If all goes well .. which is that case now.

coatless commented 8 years ago

@avinash2692 Steph's explanation + the two papers is okay? Do we need to talk? When can we expect the PR?

avinash2692 commented 8 years ago

Yup , all ok ... Working on the implementation now.

Avinash