[R] Variance-covariance matrix

[Tsjerk Wassenaar]

Hi Giorgio,

For a univariate time series? Seriously?

data <- rnorm(10,2,1)
as.matrix(var(data))

Cheers,

Tsjerk


On Sun, May 10, 2015 at 9:54 PM, Giorgio Garziano <
giorgio.garziano at ericsson.com> wrote:

> 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
>
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>



-- 
Tsjerk A. Wassenaar, Ph.D.

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