EWMA.Cov: Compute the exponentially weighted moving average covariance...
In yanyachen/arimaMisc: Time Series Analysis Miscellaneous Tools
Description
Usage
Arguments
Value
Description
Compute the exponentially weighted moving average covariance matrix.
Usage
1
EWMA.Cov(rtn, theta = 0.94)
Arguments
rtn
return series
theta
exponetial decay factor between 0 and 1
Value
exponentially weighted moving average covariance matrix
yanyachen/arimaMisc documentation built on May 4, 2019, 2:30 p.m.
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Description Usage Arguments Value
Description
Compute the exponentially weighted moving average covariance matrix.
Usage
1 | EWMA.Cov(rtn, theta = 0.94)
|
Arguments
rtn |
return series |
theta |
exponetial decay factor between 0 and 1 |
Value
exponentially weighted moving average covariance 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.
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