psigma_estimates

<p>is a 2 column matrix with for the bivariate time series observations. Each column correspond to the values at a given time.</p>

<p>It computes the preliminary estimates of Sigma_epsilon and Sigma_eta</p>

It performs the smoothing approach provided by penalized least squares for univariate and bivariate time series, as proposed by Guerrero (2007) and Gerrero et al. (2017).
This allows to estimate the time series trend by controlling the amount of resulting (joint) smoothness.
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Guerrero, V.M (2007)  <DOI:10.1016/j.spl.2007.03.006>.
Guerrero, V.M; Islas-Camargo, A. and Ramirez-Ramirez, L.L. (2017) <DOI:10.1080/03610926.2015.1133826>.

psigma_estimates: Preliminar estimates

Description

Usage

Arguments

Value