Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!
Get Started for Free

corelement

Extract "true" model-implied correlations of two series only

Description

corelement extracts the model-implied (time-varying) correlations between (exactly) two component series.

Usage

corelement(x, i, j, these = seq_len(nrow(x$y)))

Arguments

x

Object of class 'fsvsim', usually resulting from a call of the function fsvsim.
i

Index of component series 1.
j

Index of component series 2.
these

Vector indicating which points in time should be extracted.

Value

Vector with the requested correlations.

See Also

Other simulation: cormat.fsvsim(), covelement(), covmat.fsvsim()

factorstochvol

Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models

v0.10.2
GPL (>= 2)
Authors
Gregor Kastner [aut, cre] (<https://orcid.org/0000-0002-8237-8271>), Darjus Hosszejni [ctb] (<https://orcid.org/0000-0002-3803-691X>)
Initial release

We don't support your browser anymore

Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.