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