Objective function to find optimal smoothing matrix using robust methods

Description

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.

Usage

1
  objLambdaRobust(params, R, starting_values)

Arguments

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.

Details

The time index of R, smoothed values, and error matrix are all equal.

Value

determinant of covariance of error matrix

Author(s)

Ross Bennett