GMWM+

[AhmedElboraeeRadi]

Hi,

Regarding the GMWM+, it is consists in the adding of some standard moments (mean, autocovariance) to the WV vector. How this could be achieved in terms of R studio coding ?

Thanks

[stephaneguerrier]

@coatless: I am not sure if the current gmwm function has this capability, would you know? Any hacks available?

[coatless]

@AhmedElboraeeRadi

Unfortunately, there is no easy solution regarding the implementation of the GMWM+ at the present moment. The reason behind this is the moment augmentation occurs within the objective function, which is a closed off area of the GMWM C++ library. Thus, to use the GMWM+ methodology within R, one would have to use the results from wvar and implement a custom GMWM estimator function for each model type. As you can imagine, such a scenario is not very ideal.

We're presently evaluating a few expansion pathways to better support all GMWM developments. The likelihood that we will have something in place in the shorter is unlikely. We're aiming for support to arrive in late Summer or Early Fall.