cora {gogarch} | R Documentation |
Autocorrelations of a Matrix Process
Description
This function computes the autocorrelation matrix for a given lag. For instance, it is used for estimating GO-GARCH models whence the method of moments is utilized.
Usage
cora(SSI, lag = 1, standardize = TRUE)
Arguments
SSI |
Array with dimension |
lag |
Integer, the lag for which the autocorrelation is computed. |
standardize |
Logical, if |
Details
This function computes the autocorrelation matrix according to:
It is computationally assured that is symmetric
by setting it equal to:
. The standardization matrix
is derived from the singular value decomposition of the
co-variance matrix at lag zero.
Value
cora |
Matrix with dimension |
Author(s)
Bernhard Pfaff
References
Boswijk, H. Peter and van der Weide, Roy (2009), Method of Moments Estimation of GO-GARCH Models, Working Paper, University of Amsterdam, Tinbergen Institute and World Bank.