smoothedSeries: Exponential Smoothing Smoothed Values

Description Usage Arguments Value Author(s)

Description

Compute the exponential smoothing smoothed values. The smoothed values are computed for the same timeframe as R. The starting values should be immediately before R.

Usage

1
  smoothedSeries(R, Lambda, starting_values)

Arguments

R

xts object of asset returns

Lambda

smoothing matrix

starting_values

xts object of

Value

xts object of smoothed series in the same time index of R

Author(s)

Ross Bennett


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