Description Usage Arguments Details Value Author(s)
Objective function used in solveLambda
for
computing the optimal smoothing matrix via optimization.
The objective value to be minimized is the determinant of
the covariance matrix of the errors.
1 | objLambdaClassic(params, R, starting_values)
|
params |
vector of parameters for smoothing matrix |
R |
xts object of asset returns. This should be the training data to estimate the smoothing matrix. |
starting_values |
starting values for computing the smoothed values. |
The time index of R, smoothed values, and error matrix are all equal.
determinant of covariance of error matrix
Ross Bennett
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