cov.structure: Estimate the covariance structure within a given window k \in...
In freqdom: Frequency Domain Analysis for Multivariate Time Series
Description
Usage
Arguments
Value
Examples
Description
Given two multivariate time series X_t and Y_t
estimates the covariances of Cov(X_{k} Y_0) for k \in [-q,q].
lagged.cov is used for the estimation at each lag.
Usage
1
cov.structure(X, Y = NULL, q = 10)
Arguments
X
first process
Y
second process, if null then autocovariance of X is computed
q
size of the window (covariances from -q to q will be computed)
Value
a time domain operator
Examples
1
2
3
X = rar(100)
Y = rar(100)
cov.structure(X,Y)
freqdom documentation built on May 2, 2019, 5:55 p.m.
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Description Usage Arguments Value Examples
Description
Given two multivariate time series X_t and Y_t
estimates the covariances of Cov(X_{k} Y_0) for k \in [-q,q].
lagged.cov is used for the estimation at each lag.
Usage
1 | cov.structure(X, Y = NULL, q = 10)
|
Arguments
X |
first process |
Y |
second process, if null then autocovariance of |
q |
size of the window (covariances from |
Value
a time domain operator
Examples
1 2 3 | X = rar(100)
Y = rar(100)
cov.structure(X,Y)
|
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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