rlgtfit function

rlgtfit class

A constructor function for objects of class rlgtfit, the main class of the package. Objects of this class are output from the rlgt function. This constructor will usually not be called by users directly.

rlgtfit(
  y,
  model.type,
  use.regression,
  seasonalityMethodId,
  levelMethodId,
  useSmoothingMethodForError = FALSE,
  seasonality,
  seasonality2,
  rlgtmodel,
  params,
  control,
  samples
)

Arguments

• y: time series data for training (provided as a vector or a ts object).
• model.type: the type of rlgt model, one of: "LGT", "SGT", "S2GT"
• use.regression: whether the data has any additional variables to be used with forecasting, i.e. multivariate time-series.
• seasonalityMethodId: Seasonality method Id (0- HW, 1- generalized).
• levelMethodId: Level method Id.
• useSmoothingMethodForError: if the non-standard function for error size should be used, one based on smoothed innovations or surprises
• seasonality: This specification of seasonality will be overridden by frequency of y, if y is of ts or msts class. 1 by default, i.e. no seasonality.
• seasonality2: Second seasonality. If larger than 1, a dual seasonality model will be used. This specification of seasonality will be overridden by the second seasonality of y, if y is of msts class. 1 by default, i.e. no seasonality or single seasonality.
• rlgtmodel: an rlgt model.
• params: list of parameters of the model (to be fitted).
• control: list of control parameters, i.e. hyperparameter values for the model's prior distribution. See rlgt.control
• samples: stanfit object representing the MCMC samples

Returns

an rlgtfit instance