rgmwm {simts}

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.

Value

A rgmwm object