Description Usage Arguments Details Value Examples
View source: R/cov-estim-factor.R
Computes the EFM estimator of the covariance matrix.
1 | sigma_estim_efm(data, factors = NULL)
|
data |
an nxp data matrix. |
factors |
a nxf matrix with factors. Default value is NULL and the factor is equal to the cross-sectional average of all the variables in the data. |
The EFM covariance estimator is calculated with the following formula:
\hat{Σ} = B\hat{Σ}_F B' + \hat{Σ_u},
where \hat{Σ}_F is the sample covariance matrix of the common factors and \hat{Σ}_u is the covariaance matrix of residuals, assumed to have zero correlation.
a list with the following entries
a pxp estimated covariance matrix.
an estimation specific tuning parameter, here NA.
1 2 3 |
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