weighted.cov: weighted.cov

In factormodel: Factor Model Estimation Using Proxy Variables

Description

This function is to compute an unbiased sample weighted covariance. The function uses only pairwise complete observations.

Usage

weighted.cov(x, y, w = NULL)

Arguments

x	An input vector to compute a covariance, cov(x,y)
y	An input vector to compute a covariance, cov(x,y)
w	A weight vector

Value

Returns an unbiased sample weighted covariance

Author(s)

Yujung Hwang, [e-mail]

Examples

# If you do not specify weights, 
# it returns the usual unweighted sample covariance 
weighted.cov(x=c(1,3,5),y=c(2,3,1)) 

weighted.cov(x=c(1,3,5),y=c(2,3,1),w=c(0.1,0.5,0.4))

factormodel documentation built on June 4, 2021, 9:07 a.m.