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.

⏰ This R package provides the tools to perform standard and robust wavelet variance analysis for time series (signal processing). Among others, aside from computing the wavelet variance and cross-covariance (classic and robust), the package provides inference tools (e.g. confidence intervals) and plotting tools allowing to perform some visual an…

This package implements a non-parametric method that makes use of the wavelet cross-covariance at different scales to combine the measurements coming from an array of sensors in order to deliver an optimal measurement signal with weak assumptions on the processes underlying the individual error signals.