| 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 | |
| Library: | multi |
| See also: | modelrr covabc covbrr covabrr |