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)