GM: Create a Gauss-Markov (GM) Process

In schoi355/gmwm: Generalized Method of Wavelet Moments

Create a Gauss-Markov (GM) Process

Description

Setups the necessary backend for the GM process.

Usage

GM(beta = NULL, sigma2_gm = 1)

Arguments

beta	A double value for the beta of an GM process.
sigma2_gm	A double value for the variance, sigma^2[gm], of a WN process.

Details

When supplying values for beta and sigma^2[gm], these parameters should be of a GM process and NOT of an AR1. That is, do not supply AR1 parameters such as phi, sigma^2.

Internally, GM parameters are converted to AR1 using the 'freq' supplied when creating data objects (imu, gts) or specifying a 'freq' parameter in gmwm or gmwm.imu.

The 'freq' of a data object takes precedence over the 'freq' set when modeling.

Value

An S3 object with called ts.model with the following structure:

process.desc

Used in summary: "BETA","SIGMA2"

theta

beta, sigma^2[gm]

plength

Number of Parameters

desc

"GM"

obj.desc

Depth of Parameters e.g. list(1,1)

starting

Guess Starting values? TRUE or FALSE (e.g. specified value)

Author(s)

JJB

Examples

GM()
GM(beta=.32, sigma2_gm=1.3)

schoi355/gmwm documentation built on April 11, 2022, 1:21 a.m.