mcov : Moving Cross-covariance Matrix

Alshammri, Fayed Awdah M (2020) mcov : Moving Cross-covariance Matrix. University of Strathclyde, Glasgow.

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Abstract

The function mcov computes estimates of the lag l moving cross-covariance matrix of non-stationary (and stationary) time series. Notice that the following library is needed to be installed before using the mcov function: library(roll)

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• Item metadata

  Item type:	Other
  ID code:	71855
  Dates:	Date Event 10 March 2020 Published
  Notes:	Alshammri, F. (2020). mcov: Moving Cross-covariance Matrix. R package version 0.1.0.
  Subjects:	Science > Mathematics > Computer software
  Department:	Faculty of Science > Mathematics and Statistics
  Depositing user:	Pure Administrator
  Date deposited:	24 Mar 2020 10:42
  Last modified:	21 Nov 2024 01:01
  URI:	https://strathprints.strath.ac.uk/id/eprint/71855