sigma_zf function

Empirical cross-covarinace.

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

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.

Returns

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