cv_trunc | R Documentation |
Truncate data, with truncation parameter chosen by cross-validation.
cv_trunc(data, n_tau = 60, lag = 0, cv_lag = 0, standardise = TRUE)
data |
Input time series each column representing a time series variable. |
n_tau |
An integer that determines the number of taus to use in grid used for cross-validation |
lag |
This is an integer argument that is used when the |
cv_lag |
An integer argument, that is used when the |
standardise |
boolean; whether to scale up the truncation parameter for each series by the MAD of the corresponding series. |
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