Generalized Method of Wavelet Moments

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. Furthermore, there exists a robust implementation of GMWM, which allows the robust estimation of some state-space models and ARIMA models. Lastly, the package provides the ability to quickly generate time series data, perform different wavelet decompositions, and visualizations.


Reference manual

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2.0.0 by Stephane Guerrier, a year ago

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Authors: James Balamuta [aut, cph], Stephane Guerrier [ctb, cre, cph], Roberto Molinari [ctb, cph], Wenchao Yang [ctb]

Documentation:   PDF Manual  

CC BY-NC-SA 4.0 license

Imports Rcpp, scales, grid, reshape2, utils, stats, methods, graphics, grDevices

Depends on ggplot2

Suggests testthat, knitr, rmarkdown, imudata

Linking to Rcpp, RcppArmadillo

See at CRAN