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gmwm (version 2.0.0)

GM: 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.

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)

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.

Examples

Run this code
GM()
GM(beta=.32, sigma2_gm=1.3)

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