| Library: | multi |
| See also: | modelrr covabc covarr covbrr |
| Quantlet: | covabrr | |
| Description: | covariance matrix A*B, reduced rank VAR model |
| Usage: | c = covabrr(a,b,ew,r,j,l,di,diord) | |
| Input: | ||
| a | vector | |
| b | vector | |
| ew | matrix | |
| r | integer | |
| j | integer | |
| l | integer | |
| di | integer, dimension of time series | |
| diord | integer, dimension of the order | |
| Output: | ||
| c | di x di matrix | |