Extract "true" model-implied covariance matrix for several points in time

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Description

covmat extracts the model-implied (time-varying) covariance matrix from an fsvsim object.

Usage

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## S3 method for class 'fsvsim'
covmat(x, these = seq_len(nrow(x$y)), ...)

Arguments

x

Object of class 'fsvsim', usually resulting from a call of the function fsvsim.

these

Vector indicating which points in time should be extracted, defaults to all.

...

Ignored.

Value

Array of dimension m times m times length(these), containing the model-implied covariance matrix.

Note

Currently crudely implemented as an R loop over all time points, may be slow.

See Also

covmat covmat.fsvsample

Other simulation: corelement, covelement

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