estWtVariables {dse}R Documentation

Weighted Estimation

Description

estWtVariables

Usage

    estWtVariables(data, variable.weights,
                        estimation="estVARXls", estimation.args=NULL)

Arguments

data

A TSdata object.

variable.weights

weights to use for each output series.

estimation

An estimation method.

estimation.args

An arguments for the estimation method.

Details

Weight series so that some series residuals are more important than others. Each output variable is scaled according to variable.weights, estimate is done, and then the estimated model unscaled. Estmation is done the method specified by estimate and any arguments specified by estimation.args. estimation.args should be NULL if no args are needed.

Value

A TSestModel.

See Also

estVARXls estBlackBox bft estMaxLik


[Package dse version 2020.2-1 Index]