Master Wrapper for the GMWM Estimator
This function generates WV, GMWM Estimator, and an initial test estimate.
gmwm_master_cpp(data, theta, desc, objdesc, model_type, starting, alpha, compute_v, K, H, G, robust, eff)
data |
A |
theta |
A |
desc |
A |
objdesc |
A |
model_type |
A |
starting |
A |
alpha |
A |
compute_v |
A |
K |
An |
H |
An |
G |
An |
robust |
A |
eff |
A |
A field<mat>
that contains a list of ever-changing estimates...
JJB
Wavelet variance based estimation for composite stochastic processes, S. Guerrier and Robust Inference for Time Series Models: a Wavelet-Based Framework, S. Guerrier
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