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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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Residual Diagnostic Plot Matrix

coatless opened this issue · comments

commented

Residual diagnostic plot matrix

Normal

  • qq-plot
  • Histogram with overlay of both normal density & student density (same graph)

Lags

  • ACF
  • Robust ACF

White Noise

  • WV

Std Residuals

  • Cook's Distance
  • Non-linearity

Not pictured, but adds:

  • Portmanteau test
  • PACF

img_1111

commented

Feature moved temporarily to SMAC-Group/exts, see: SMAC-Group/exts#2