rgmwm: GMWM for Robust/Classical Comparison

In SMAC-Group/gmwm: Generalized Method of Wavelet Moments

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 x 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

Examples

set.seed(8836)
x = gen_gts(1000, AR1(phi = .1, sigma2 = 1) + AR1(phi = 0.95, sigma2 = .1))
obj = rgmwm(2*AR1()+WN(), data = x)
compare_eff(obj)

SMAC-Group/gmwm documentation built on Sept. 11, 2021, 10:06 a.m.