cov.ct {ctmva} | R Documentation |
Computes the covariance matrix of a continuous-time multivariate
data set represented as an fd
object; or the
cross-covariance matrix of two such data sets.
cov.ct(fdobj1, fdobj2 = fdobj1, common_trend = FALSE)
fdobj1 |
continuous-time multivariate data set of class |
fdobj2 |
an optional second data set |
common_trend |
logical: centering with respect to the mean function if |
A matrix of (cross-) covariances
Biplab Paul <paul.biplab497@gmail.com> and Philip Tzvi Reiss <reiss@stat.haifa.ac.il>
# see example for cor.ct, which works similarly