sigma_zf {TSsmoothing}

Empirical cross-covarinace.

Description

Function that calculates the empirical cross-covariance of order h for a bivariate time series.

Usage

sigma_zf(h, vec1, vec2, N)

Arguments

h

the lag value.

vec1

observations for the first variable of the bivariate time series.

vec2

observations for the second variable of the bivariate time series.

N

the common length of vec1 and vec2.

Value

The value of lambda that corresponds to a smoothing level s.