lambda_value: Calculation of the lambda value.

In TSsmoothing: Trend Estimation of Univariate and Bivariate Time Series with Controlled Smoothness

Description

Obtains the lambda value for specific values of the smoothing level, correlation and length.

Usage

lambda_value(s, rho, N)

Arguments

s	is a scalar that specifies the smoothing level.
rho	is the estimated correlation of the two time series. If the time series is univariate rho should be 0.
N	the length of the bivariate time series.

Value

The value of lambda lambda_value that corresponds to a smoothing level s

A flag to indicate if the lambda value was read from ltable

TSsmoothing documentation built on July 15, 2019, 5:01 p.m.