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rgmwm

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 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

simts

Time Series Analysis Tools

v0.1.1
AGPL-3 | file LICENSE
Authors
Stéphane Guerrier [aut, cre, cph], James Balamuta [aut, cph], Roberto Molinari [aut, cph], Justin Lee [aut], Yuming Zhang [aut], Wenchao Yang [ctb], Nathanael Claussen [ctb], Yunxiang Zhang [ctb], Christian Gunning [cph], Romain Francois [cph], Ross Ihaka [cph], R Core Team [cph]
Initial release
2019-07-21

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