compute_price_relatives_whitener: Get whitener for each time step
In benSepanski/pfselect:
Description
Usage
Arguments
Details
Value
View source: R/momentum_prediction.R
Description
Returns a list of matrices.
For i >= 3, the ith values and vectors are the
negative square root of the covariance matrix where we
treat the first i-1 rows as observations and the columns as variables.
Usage
1
compute_price_relatives_whitener(price_relative_matrix)
Arguments
price_relative_matrix
A matrix of price relatives
with at least three rows.
Details
For i=1,2 it's the identity matrix.
Value
A list of whitening matrices, see description for details
benSepanski/pfselect documentation built on May 1, 2020, 1:57 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Details Value
View source: R/momentum_prediction.R
Description
Returns a list of matrices. For i >= 3, the ith values and vectors are the negative square root of the covariance matrix where we treat the first i-1 rows as observations and the columns as variables.
Usage
1 | compute_price_relatives_whitener(price_relative_matrix)
|
Arguments
price_relative_matrix |
A matrix of price relatives with at least three rows. |
Details
For i=1,2 it's the identity matrix.
Value
A list of whitening matrices, see description for details
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.