[R] Variance-covariance matrix

[Giorgio Garziano]

Hi,

Actually as variance-covariance matrix I mean:

	http://stattrek.com/matrix-algebra/covariance-matrix.aspx

that I compute by:

	data <- rnorm(10,2,1)
	n <- length(data)
	data.center <- scale(data, center=TRUE, scale=FALSE)
	var.cov.mat <- (1/(n-1)) * data.center %*% t(data.center)

--
Giorgio Garziano 


-----Original Message-----
From: David Winsemius [mailto:dwinsemius at comcast.net] 
Sent: domenica 10 maggio 2015 21:27
To: Giorgio Garziano
Cc: r-help at r-project.org
Subject: Re: [R] Variance-covariance matrix


On May 10, 2015, at 4:27 AM, Giorgio Garziano wrote:

> Hi,
> 
> I am looking for a R package providing with variance-covariance matrix computation of univariate time series.
> 
> Please, any suggestions ?

If you mean the auto-correlation function, then the stats package (loaded by default at startup) has facilities:

?acf
# also same help page describes partial auto-correlation function
#Auto- and Cross- Covariance and -Correlation Function Estimation

-- 

David Winsemius
Alameda, CA, USA