preliminar function

Preliminar smoothing

Obtains the preliminar smoothed series, based on the preliminar lambda value and empirical estimates for Sigma_eta and Sigma_epsilon. This function is called by trend_estimate as part of the smoothing process.

preliminar(dat)

Arguments

• dat: is a 2-column matrix with the observations of a bivariate time series. Each row correspond to the values at a given time.

Returns

The preliminary smoothen series ptau.

The final estimate for sigma.eta

The time series correlation given by sigma.eta, rho.eta.

The preliminary estimation for sigma_epsilon, sigma.epsilon,

A suggested value for lambda given by the empirical estimations.

The empirical time series correlation (preliminar to rho.eta), emp_rho.

The time series length N.