MTS: SCCor – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

SCCor

Sample Constrained Correlations

Compute the sample constrained correlation matrices

SCCor(rt,end,span,grp)

`rt`	A T-by-k data matrix of a k-dimensional time series
`end`	The time index of the last data point to be used in computing the sample correlations.
`span`	The size of the data span used to compute the correlations.
`grp`	A vector of group sizes. The time series in the same group are pooled to compute the correlation matrix.

`unconCor`	Un-constrained sample correlation matrix
`conCor`	Constrained sample correlation matrix

This is an internal function, not intended to be a general command

Ruey S. Tsay

rt=matrix(rnorm(1000),200,5)
grp=c(3,2)
m1=SCCor(rt,200,200,grp)
m1$unconCor
m1$conCor

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0

Artistic License 2.0

Authors

Ruey S. Tsay and David Wood

Initial release

2018-10-8