cov.ct: Continuous-time covariance or cross-covariance matrix

In ctmva: Continuous-Time Multivariate Analysis

Continuous-time covariance or cross-covariance matrix

Description

Computes the covariance matrix of a continuous-time multivariate data set represented as an fd object; or the cross-covariance matrix of two such data sets.

Usage

cov.ct(fdobj1, fdobj2 = fdobj1, common_trend = FALSE)

Arguments

fdobj1	continuous-time multivariate data set of class "fd"
fdobj2	an optional second data set
common_trend	logical: centering with respect to the mean function if TRUE, without centering if FALSE (the default)

Value

A matrix of (cross-) covariances

Author(s)

Biplab Paul <[e-mail]> and Philip Tzvi Reiss <[e-mail]>

See Also

cor.ct

Examples

# see example for cor.ct, which works similarly

ctmva documentation built on July 26, 2023, 5:18 p.m.