ma: Covariance of an equal-weighted moving-average process
In hierband: Convex Banding of the Covariance Matrix

Here, Sig[j,k] = 0 if |j-k|>K and Sig[j,k] = 1 - |j-k| / K otherwise.

ma(p, K)

`p`	dimension of covariance matrix
`K`	moving-average bandwidth

Returns the covariance matrix, Sig, and the symmetric square root, A, of this matrix.

hierband documentation built on May 2, 2019, 4:16 a.m.

hierband index

Package overview Using the hierband package

Note that we can't provide technical support on individual packages. You should contact the package authors for that.

Description