Sample Constrained Correlations

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Description

Compute the sample constrained correlation matrices

Usage

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SCCor(rt,end,span,grp)

Arguments

rt

A T-by-k data matrix of a k-dimensional time series

end

The time index of the last data point to be used in computing the sample correlations.

span

The size of the data span used to compute the correlations.

grp

A vector of group sizes. The time series in the same group are pooled to compute the correlation matrix.

Value

unconCor

Un-constrained sample correlation matrix

conCor

Constrained sample correlation matrix

Note

This is an internal function, not intended to be a general command

Author(s)

Ruey S. Tsay

Examples

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rt=matrix(rnorm(1000),200,5)
grp=c(3,2)
m1=SCCor(rt,200,200,grp)
m1$unconCor
m1$conCor

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