R/bw.R
bwCov.Rd
Covariance Bandwidth Calculation by Cross-Validation bwCov calculates a single bandwidth to estimate the time-varying variance- covariance matrix.
bwCov( x, cv.block = 0, est = c("lc", "ll"), tkernel = c("Triweight", "Epa", "Gaussian") )
x | A matrix or a data frame. |
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cv.block | A positive scalar with the size of the block in leave-one block-out cross-validation. By default 'cv.block=0' meaning leave-one-out cross-validation. |
est | The nonparametric estimation method, one of "lc" (default) for linear constant or "ll" for local linear. |
tkernel | A character, either "Triweight" (default), "Epa" or "Gaussian" kernel function. |
A scalar.