mcov: Moving Cross-covariance Matrix

Research output: Other contribution

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Abstract

The function mcov computes estimates of the lag l moving cross-covariance matrix of non-stationary (and stationary) time series. Notice that the following library is needed to be installed before using the mcov function: library(roll)
Original languageEnglish
TypeDeveloping R Package
Media of outputR
PublisherUniversity of Strathclyde
Number of pages1
Place of PublicationGlasgow
Publication statusPublished - 10 Mar 2020

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Keywords

  • mcov

Cite this

Alshammri, F. A. M. (2020, Mar 10). mcov: Moving Cross-covariance Matrix. Glasgow: University of Strathclyde.