simts

Authors Justin Lee, Stéphane Guerrier, James Balamuta, Lionel Voirol, Roberto Molinari, Yuming Zhang

Last update 31 August 2023

Copyright license File License, GNU Affero General Public License, version 3.0

Software version identifier 0.2.1, 0.1.0, 0.1.1, 0.2.0, 0.2.2

A system contains easy-to-use tools as a support for time series analysis courses. In particular, it incorporates a technique called Generalized Method of Wavelet Moments (GMWM) as well as its robust implementation for fast and robust parameter estimation of time series models which is described, for example, in Guerrier et al. (2013) <doi:10.1080/01621459.2013.799920>. More details can also be found in the paper linked to via the URL below.

Cites work

Wavelet-Variance-Based Estimation for Composite Stochastic Processes

Cited in

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