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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.
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Covariance Matrix Options #208

Open coatless opened 7 years ago

coatless commented 7 years ago

Support the following covariance matrix options:

  1. full (missing)

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  1. diag using full (missing)
  2. diag using fft (presently implemented)
  3. fast (default)