Sigma_sample_estimator {HDShOP} | R Documentation |
Sample covariance matrix
Description
It computes the sample covariance of matrix as follows:
where is the
-th column of the data matrix
.
Usage
Sigma_sample_estimator(x)
Arguments
x |
a p by n matrix or a data frame of asset returns. Rows represent different assets, columns – observations. |
Value
Sample covariance estimation
Examples
p<-5 # number of assets
n<-1e1 # number of realizations
x <-matrix(data = rnorm(n*p), nrow = p, ncol = n)
Sigma_sample_estimator(x)
[Package HDShOP version 0.1.5 Index]