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.
Todo:
During OOP rewrite, move files from
/src
into/inst/include
to enable linking cross package.Others:
Switch from
int
tosize_t
for big dataImportant for:
ts.model
object within Cpp by other packages (forecast
??)