lambda_value function

Calculation of the lambda value.

Obtains the lambda value for specific values of the smoothing level, correlation and length.

lambda_value(s, rho, N)

Arguments

• s: is a scalar that specifies the smoothing level.
• rho: is the estimated correlation of the two time series. If the time series is univariate rho should be 0.
• N: the length of the bivariate time series.

Returns

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

A flag to indicate if the lambda value was read from ltable