LongRunCovMatrix {fdasrvf}

Long Run Covariance Matrix Estimation for Multivariate Time Series

Description

This function estimates the long run covariance matrix of a given multivariate data sample.

Usage

LongRunCovMatrix(mdobj, h = 0, kern_type = "bartlett")

Arguments

mdobj

A multivariate data object

h

The bandwidth parameter. It is strictly non-zero. Choosing the bandwidth parameter to be zero is identical to estimating covariance matrix assuming iid data.

kern_type

Kernel function to be used for the estimation of the long run covariance matrix. The choices are c("BT", "PR", "SP", "FT") which are respectively, bartlett, parzen, simple and flat-top kernels. By default the function uses a "barlett" kernel.

Value

Returns long run covariance matrix