SCCor: Sample Constrained Correlations

In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

Sample Constrained Correlations

Description

Compute the sample constrained correlation matrices

Usage

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

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

MTS documentation built on April 11, 2022, 5:07 p.m.