ExponentialSmoothing: Exponential Smoothing Constructor

In fincov: Methods for estimating covariance matrices

Description

If the smoothing matrix is NULL, it will be solved for through optimization.

Usage

  ExponentialSmoothing(R, smoothing_matrix = NULL,
    startup_period = 10, training_period = 36,
    type = c("classic", "robust"))

Arguments

R	xts object of asset returns
smoothing_matrix	smoothing matrix
startup_period	number of periods to use for startup data to estimate starting values
training_period	number of periods to use for training data to estimating smoothing matrix
type

Author(s)

Ross Bennett

fincov documentation built on May 2, 2019, 5:17 p.m.