simts - Time Series Analysis Tools
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.
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rcpprcpparmadillosimulationtime-seriestimeseriestimeseries-dataopenblascpp
8.31 score 15 stars 5 dependents 90 scripts 678 downloads
wv - Wavelet Variance
Provides a series of tools to compute and plot quantities related to classical and robust wavelet variance for time series and regular lattices. More details can be found, for example, in Serroukh, A., Walden, A.T., & Percival, D.B. (2000) <doi:10.2307/2669537> and Guerrier, S. & Molinari, R. (2016) <doi:10.48550/arXiv.1607.05858>.
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signal-processingtime-serieswavelet-varianceopenblascpp
6.12 score 17 stars 2 dependents 32 scripts 419 downloads
avar - Allan Variance
Implements the allan variance and allan variance linear regression estimator for latent time series models. More details about the method can be found, for example, in Guerrier, S., Molinari, R., & Stebler, Y. (2016) <doi:10.1109/LSP.2016.2541867>.
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allan-varianceinertial-sensorsstatisticstime-seriescpp
4.99 score 5 stars 13 scripts 408 downloadspempi - Proportion Estimation with Marginal Proxy Information
Tools for the conditional estimation of the prevalence of an emerging or rare infectious disease, combining a survey sample with population-level case-count data and accounting for measurement error. Implements the methods proposed in Guerrier, Kuzmics and Victoria-Feser (2024) <doi:10.1080/01621459.2024.2313790>. The companion paper received the 2024 JASA Reproducibility Award.
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covidprevalencerare-infectious-diseasesstatistics
4.71 score 17 scripts 191 downloads