Variance-covariance matrix

 Hi Tsjerk,



Yes, seriously.



Time series:



X = [x1, x2, x3, ....,xn]



The variance-covariance matrix is V matrix:



*            V*    =

? *x*12 / (N-1)

? *x*1 *x*2 / (N-1)

. . .

? *x*1 xn / (N-1)

? *x*2 *x*1 / (N-1)

? *x*22 / (N-1)

. . .

? *x*2 *x*n / (N-1)

. . .

. . .

. . .

. . .

? *x*n *x*1 / (N-1)

? *x*n *x*2 / (N-1)

. . .

? *x*n2 / (N-1)





Reference: ?Time series and its applications ? with R examples?,
Springer,

     $7.8 ?Principal Components? pag. 468, 469



Cheers,



Giorgio





*From:* Tsjerk Wassenaar [mailto:tsjerkw at gmail.com]
*Sent:* domenica 10 maggio 2015 22:11

*To:* Giorgio Garziano
*Cc:* r-help at r-project.org
*Subject:* Re: [R] Variance-covariance matrix



Hi Giorgio,



For a univariate time series? Seriously?



data <- rnorm(10,2,1)

as.matrix(var(data))



Cheers,



Tsjerk





On Sun, May 10, 2015 at 9:54 PM, Giorgio Garziano <
giorgio.garziano at ericsson.com> wrote:

Hi,

Actually as variance-covariance matrix I mean:

        http://stattrek.com/matrix-algebra/covariance-matrix.aspx

that I compute by:

        data <- rnorm(10,2,1)
        n <- length(data)
        data.center <- scale(data, center=TRUE, scale=FALSE)
        var.cov.mat <- (1/(n-1)) * data.center %*% t(data.center)

--
Giorgio Garziano



-----Original Message-----
From: David Winsemius [mailto:dwinsemius at comcast.net]
Sent: domenica 10 maggio 2015 21:27
To: Giorgio Garziano
Cc: r-help at r-project.org
Subject: Re: [R] Variance-covariance matrix


On May 10, 2015, at 4:27 AM, Giorgio Garziano wrote:

Hi,

I am looking for a R package providing with variance-covariance matrix

computation of univariate time series.

Please, any suggestions ?

If you mean the auto-correlation function, then the stats package (loaded
by default at startup) has facilities:

?acf
# also same help page describes partial auto-correlation function
#Auto- and Cross- Covariance and -Correlation Function Estimation

--

David Winsemius
Alameda, CA, USA