covelement: Extract "true" model-implied covariances of two series only

In factorstochvol: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models

Extract "true" model-implied covariances of two series only

Description

covelement extracts the model-implied (time-varying) covariances between (exactly) two component series.

Usage

covelement(x, i, j, these = seq_len(nrow(x$y)))

Arguments

x	Object of class 'fsvsim', usually resulting from a call of the function fsvsim.
i	Index of component series 1.
j	Index of component series 2.
these	Vector indicating which points in time should be extracted, defaults to all.

Value

Vector with the requested covariances.

See Also

Other simulation: corelement(), cormat.fsvsim(), covmat.fsvsim()

factorstochvol documentation built on Nov. 24, 2023, 5:08 p.m.