ewmc: Exponentially moving covariance
In shill1729/findistr: Common distributions used in finance
ewmc R Documentation
Exponentially moving covariance
Description
Exponentially weighted sample covariance Past data has exponentially
decaying weights.
Usage
ewmc(X, lambda = 0.94, h = 1/252)
Arguments
X
data-set
lambda
weight parameter (near 0 corresponds to sample mean)
h
timescale
Value
matrix
shill1729/findistr documentation built on May 20, 2024, 9:43 a.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.
| ewmc | R Documentation |
Exponentially moving covariance
Description
Exponentially weighted sample covariance Past data has exponentially decaying weights.
Usage
ewmc(X, lambda = 0.94, h = 1/252)
Arguments
X |
data-set |
lambda |
weight parameter (near 0 corresponds to sample mean) |
h |
timescale |
Value
matrix
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.