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 covabc covbrr covabrr

Macro: 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

Library: multi
See also: modelrr covabc covbrr covabrr

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

Author: Hafner, Sperlich 971204, CH 980408
(C) MD*TECH Method and Data Technologies, 17.8.2000