Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: multi
See also: modelrr

Quantlet: covmlrr
Description: covariance matrix used for reduced rank models

Usage: cov=covmlrr(ord,rang,di,tb,te,typ,ytt)
Input:
ord scalar, model order
rang scalar, rank of VAR matrix
di scalar, dimension of time series
tb scalar, beginning of sample
te scalar, beginning of sample
typ scalar, model type
ytt matrix, transformed time series
Output:
cov matrix, covariance matrix




Author: C. Hafner, W. Haerdle, 19981230 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006