cleanedSeries: Exponential Smoothing Robust Cleaned Series
In fincov: Methods for estimating covariance matrices
Description
Usage
Arguments
Details
Description
Compute the robust cleaned series of the exponential
smoothing model
Usage
1
cleanedSeries(error_matrix, sigma_t, smoothed_values)
Arguments
error_matrix
xts object of errors
sigma_t
list of covariance matrix of errors at
time t
smoothed_values
xts object of smoothed values
Details
sigma_t must be a list with length equal to the
number of observations in error_matrix and
smoothed_values.
fincov documentation built on May 2, 2019, 5:17 p.m.
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Description Usage Arguments Details
Description
Compute the robust cleaned series of the exponential smoothing model
Usage
1 | cleanedSeries(error_matrix, sigma_t, smoothed_values)
|
Arguments
error_matrix |
xts object of errors |
sigma_t |
list of covariance matrix of errors at time t |
smoothed_values |
xts object of smoothed values |
Details
sigma_t must be a list with length equal to the
number of observations in error_matrix and
smoothed_values.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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