simts: Time Series Analysis Tools

rgmwm

R Documentation

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.