ma: Covariance of an equal-weighted moving-average process

Description Usage Arguments Value

Description

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

Usage

1
ma(p, K)

Arguments

p

dimension of covariance matrix

K

moving-average bandwidth

Value

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



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