covMatrix: Covariance matrix for aggregated model
In gabrielfranco89/aggrmodel: A R package to fit aggregated data model

Description Usage Arguments Details Value Examples

Covariance matrix for aggregated model

covMatrix(
  market,
  group.name,
  type.name,
  mkt.name,
  timeVec,
  sigPar,
  tauPar,
  corPar,
  funcMtx = NULL,
  covType,
  corType = "exponential",
  nKnots = NULL,
  truncateDec = NULL
)

`market`	Market information (improve)
`group.name`	empty
`type.name`	empty
`mkt.name`	empty
`timeVec`	empty
`sigPar`	improve
`tauPar`	empty
`corPar`	empty
`funcMtx`	empty
`covType`	Any of 'Homog_uniform', 'Homog' or 'Heterog'.
`corType`	Any of 'periodic' (default) or 'exponential'.
`nKnots`	empty
`truncateDec`	empty

building...

A list of C covariance matrices of size ncol(funcMtx)

set.seed(2019)

## Create market
mkt = data.frame(group = rep(1:3, each=2),
                 type = rep(1:2, times = 3),
                 value = sample(1:20, 6))

myTimevec = seq(0,1, length.out = 12)
mySigPar = matrix(c(2,3), ncol=2)
myTauPar = matrix(c(.2, .2), ncol=2)
myCorPar = matrix(c(1/8, 12), ncol=2)
myFuncMtx = matrix(runif(8), nrow = 4, ncol=2)

## Homogeneous example
homogMtx = covMatrix(market = mkt, group.name = 'group', type.name = 'type', mkt.name = 'value', timeVec = myTimevec, sigPar = mySigPar, tauPar = myTauPar, corPar = myCorPar, covType = 'Homog', corType = 'exponential')