smoothedSeries: Exponential Smoothing Smoothed Values
In fincov: Methods for estimating covariance matrices
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.
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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
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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