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RM2006 = function(data, tau0 = 1560, tau1 = 4, kmax = 14, rho = sqrt(2)){
T = dim(data)[[1]]
K = dim(data)[[2]]
temp = array(0,dim = c(K,K,T))
Ht = Httilde = array(0,dim = c(K,K,T+1))
for (t in 1:T){
temp[,,t] = tcrossprod(data[t,])
}
data = temp
tauks = tau1*rho^((1:kmax)-1)
w = 1-log(tauks)/log(tau0)
w = w/sum(w)
for (k in 1:kmax){
mu = exp(-1/tauks[k])
endPoint = max(min(floor(log(0.01)/log(mu)),T),k)
weights = (1-mu)*mu^(0:(endPoint-1))
weights = weights/sum(weights)
backCast = matrix(0,K,K)
for (i in 1:endPoint){
backCast = backCast + weights[i]*data[,,i]
}
Httilde[,,1] = backCast
for (t in 2:(T+1)){
Httilde[,,t] = mu*Httilde[,,t-1] +(1-mu)*data[,,t-1]
}
Ht = Ht + w[k]*Httilde
}
return(Ht)
}
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