R: Continuous-time covariance or cross-covariance matrix

cov.ct {ctmva}

R Documentation

Continuous-time covariance or cross-covariance matrix

Description

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.

Usage

cov.ct(fdobj1, fdobj2 = fdobj1, common_trend = FALSE)

Arguments

`fdobj1`	continuous-time multivariate data set of class `"fd"`
`fdobj2`	an optional second data set
`common_trend`	logical: centering with respect to the mean function if `TRUE`, without centering if `FALSE` (the default)

Value

A matrix of (cross-) covariances

Author(s)

Biplab Paul <paul.biplab497@gmail.com> and Philip Tzvi Reiss <reiss@stat.haifa.ac.il>

Examples


# see example for cor.ct, which works similarly

[Package ctmva version 1.4.0 Index]