rgmwm: GMWM for Robust/Classical Comparison

In simts: Time Series Analysis Tools

GMWM for Robust/Classical Comparison

Description

Creates a rgmwm object to compare the results generated by robust/classical method.

Usage

rgmwm(model, data, eff = c(0.9, 0.8, 0.6), ...)

Arguments

model	A ts.model object containing one of the allowed models.
data	A matrix or data.frame object with only one column (e.g. N \times 1), or a lts object, or a gts object.
eff	A double vector between 0 and 1 that indicates the efficiency.
...	Other arguments passed to the main gmwm function.

Details

By default, the rgmwm function will fit a classical gmwm object. From there, the user has the ability to specify any eff that is less than or equal to 0.99.

Value

A rgmwm object

simts documentation built on Aug. 31, 2023, 5:07 p.m.