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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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Header Only GMWM Library

coatless opened this issue · comments

commented

Todo:

During OOP rewrite, move files from /src into /inst/include to enable linking cross package.

Others:

Switch from int to size_t for big data

Important for:

  1. Enabling generation of TS via ts.model object within Cpp by other packages (forecast??)
  2. Reducing link hazards.