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covelement

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

Description

covelement extracts the model-implied (time-varying) covariances between (exactly) two component series.

Usage

covelement(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, defaults to all.

Value

Vector with the requested covariances.

See Also

Other simulation: corelement(), cormat.fsvsim(), 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

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