I believe the equivalent is to use the cov.wt() function, which returns a weighted covariance matrix for any arbitrary weight vector. Just choose your weight vector from an exponential (decay) function. Robert -----Original Message----- From: Omar Lakkis [mailto:abu3ammar@gmail.com] Sent: Friday, December 10, 2004 12:36 PM To: r-sig-finance@stat.math.ethz.ch Subject: [R-sig-finance] covariance Is there an R function that is equivalent to S-PLUS's EWCE.cov() -- Exponentially Weighted Covariance Estimate? _______________________________________________ R-sig-finance@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance
covariance
1 message · McGehee, Robert