Description Usage Arguments Value
Obtains the preliminar smoothed series, based on the preliminar lambda value and empirical estimates for Sigma_eta and Sigma_epsilon. This function is called by trend_estimate as part of the smoothing process.
1 | preliminar(dat)
|
dat |
is a 2-column matrix with the observations of a bivariate time series. Each row correspond to the values at a given time. |
The preliminary smoothen series ptau.
The final estimate for sigma.eta
The time series correlation given by sigma.eta, rho.eta.
The preliminary estimation for sigma_epsilon, sigma.epsilon,
A suggested value for lambda given by the empirical estimations.
The empirical time series correlation (preliminar to rho.eta), emp_rho.
The time series length N.
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