sigma_zf: Empirical cross-covarinace.

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

Description

Function that calculates the empirical cross-covariance of order h for a bivariate time series.

Usage

sigma_zf(h, vec1, vec2, N)

Arguments

h	the lag value.
vec1	observations for the first variable of the bivariate time series.
vec2	observations for the second variable of the bivariate time series.
N	the common length of vec1 and vec2.

Value

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

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