R help - Jul 2013 - number of items to replace is not a multiple of replacement length

Hi All,

I have 5 stock values and i am calculating EWMA
followed the logic as given ind following link.[
http://www.orecastingfinancialrisk.com/3.html<http://www.forecastingfinancialrisk.com/3.html>
]

library('tseries')
returns[,1]<-returns[,1]-mean(returns[,1])
returns[,2]<-returns[,2]-mean(returns[,2])
returns[,3]<-returns[,3]-mean(returns[,3])
returns[,4]<-returns[,4]-mean(returns[,4])
returns[,5]<-returns[,5]-mean(returns[,5])
T<-length(returns[,1])
T
EWMA<-matrix(nrow=T,ncol=5)
lambda=0.94
S<-cov(returns)
S
EWMA[1,] <- S[lower.tri(S,diag=TRUE)]


*Error in EWMA[1, ] <- S[lower.tri(S, diag = TRUE)] : *
*  number of items to replace is not a multiple of replacement length*
*
*
for(i in 2:T)
{
  S<- lambda*S +(1-lambda)*t(returns[i])%*% returns[i]
EWMA[i,] <- S[lower.tri(S,diag=TRUE)]
}
*
*

	[[alternative HTML version deleted]]

Hello,

Once again, the matrix EWMA has not the correct size.

Did you carefully read the answer by Thomas Stewart?
https://stat.ethz.ch/pipermail/r-help/attachments/20130724/c454b0f7/attachment.pl

Extract of his reply: "When you expand the example to 5 stocks,
there will be 15 elements (5 variances and 10 covariances)"

 > EWMA<-matrix(nrow=T,ncol=15))

Regards,
Pascal

On 26/07/2013 14:37, G Girija wrote:
> Hi All,
>
> I have 5 stock values and i am calculating EWMA
> followed the logic as given ind following link.[
>
http://www.orecastingfinancialrisk.com/3.html<http://www.forecastingfinancialrisk.com/3.html>
> ]
>
> library('tseries')
> returns[,1]<-returns[,1]-mean(returns[,1])
> returns[,2]<-returns[,2]-mean(returns[,2])
> returns[,3]<-returns[,3]-mean(returns[,3])
> returns[,4]<-returns[,4]-mean(returns[,4])
> returns[,5]<-returns[,5]-mean(returns[,5])
> T<-length(returns[,1])
> T
> EWMA<-matrix(nrow=T,ncol=5)
> lambda=0.94
> S<-cov(returns)
> S
> EWMA[1,] <- S[lower.tri(S,diag=TRUE)]
>
>
> *Error in EWMA[1, ] <- S[lower.tri(S, diag = TRUE)] : *
> *  number of items to replace is not a multiple of replacement length*
> *
> *
> for(i in 2:T)
> {
>    S<- lambda*S +(1-lambda)*t(returns[i])%*% returns[i]
> EWMA[i,] <- S[lower.tri(S,diag=TRUE)]
> }
> *
> *
>
> 	[[alternative HTML version deleted]]
>
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