factorstochvol: expweightcov – R documentation

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expweightcov

Computes the empirical exponentially weighted covariance matrix

A common way to get estimates for time-varying covariance matrices is the compute the exponentially weighted empirical covariance matrix.

expweightcov(dat, alpha = 4/126, hist = 180)

`dat`	Matrix containing the data, with `n` rows (points in time) and `m` columns (component series).
`alpha`	Speed of decay.
`hist`	How far to go back in time?

A m times m covariance matrix estimate.

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