Hi, Actually as variance-covariance matrix I mean: http://stattrek.com/matrix-algebra/covariance-matrix.aspx that I compute by: data <- rnorm(10,2,1) n <- length(data) data.center <- scale(data, center=TRUE, scale=FALSE) var.cov.mat <- (1/(n-1)) * data.center %*% t(data.center) -- Giorgio Garziano -----Original Message----- From: David Winsemius [mailto:dwinsemius at comcast.net] Sent: domenica 10 maggio 2015 21:27 To: Giorgio Garziano Cc: r-help at r-project.org Subject: Re: [R] Variance-covariance matrix On May 10, 2015, at 4:27 AM, Giorgio Garziano wrote:> Hi, > > I am looking for a R package providing with variance-covariance matrix computation of univariate time series. > > Please, any suggestions ?If you mean the auto-correlation function, then the stats package (loaded by default at startup) has facilities: ?acf # also same help page describes partial auto-correlation function #Auto- and Cross- Covariance and -Correlation Function Estimation -- David Winsemius Alameda, CA, USA
Hi Giorgio, For a univariate time series? Seriously? data <- rnorm(10,2,1) as.matrix(var(data)) Cheers, Tsjerk On Sun, May 10, 2015 at 9:54 PM, Giorgio Garziano < giorgio.garziano at ericsson.com> wrote:> Hi, > > Actually as variance-covariance matrix I mean: > > http://stattrek.com/matrix-algebra/covariance-matrix.aspx > > that I compute by: > > data <- rnorm(10,2,1) > n <- length(data) > data.center <- scale(data, center=TRUE, scale=FALSE) > var.cov.mat <- (1/(n-1)) * data.center %*% t(data.center) > > -- > Giorgio Garziano > > > -----Original Message----- > From: David Winsemius [mailto:dwinsemius at comcast.net] > Sent: domenica 10 maggio 2015 21:27 > To: Giorgio Garziano > Cc: r-help at r-project.org > Subject: Re: [R] Variance-covariance matrix > > > On May 10, 2015, at 4:27 AM, Giorgio Garziano wrote: > > > Hi, > > > > I am looking for a R package providing with variance-covariance matrix > computation of univariate time series. > > > > Please, any suggestions ? > > If you mean the auto-correlation function, then the stats package (loaded > by default at startup) has facilities: > > ?acf > # also same help page describes partial auto-correlation function > #Auto- and Cross- Covariance and -Correlation Function Estimation > > -- > > David Winsemius > Alameda, CA, USA > > ______________________________________________ > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >-- Tsjerk A. Wassenaar, Ph.D. [[alternative HTML version deleted]]
Hi Tsjerk,
Yes, seriously.
Time series:
X = [x1, x2, x3, ....,xn]
The variance-covariance matrix is V matrix:
V
? x12 / (N-1)
? x1 x2 / (N-1)
. . .
? x1 xn / (N-1)
? x2 x1 / (N-1)
? x22 / (N-1)
. . .
? x2 xn / (N-1)
. . .
. . .
. . .
. . .
? xn x1 / (N-1)
? xn x2 / (N-1)
. . .
? xn2 / (N-1)
Reference: ?Time series and its applications ? with R examples?, Springer,
$7.8 ?Principal Components? pag. 468, 469
Cheers,
Giorgio
From: Tsjerk Wassenaar [mailto:tsjerkw at gmail.com]
Sent: domenica 10 maggio 2015 22:11
To: Giorgio Garziano
Cc: r-help at r-project.org
Subject: Re: [R] Variance-covariance matrix
Hi Giorgio,
For a univariate time series? Seriously?
data <- rnorm(10,2,1)
as.matrix(var(data))
Cheers,
Tsjerk
On Sun, May 10, 2015 at 9:54 PM, Giorgio Garziano <giorgio.garziano at
ericsson.com<mailto:giorgio.garziano at ericsson.com>> wrote:
Hi,
Actually as variance-covariance matrix I mean:
http://stattrek.com/matrix-algebra/covariance-matrix.aspx
that I compute by:
data <- rnorm(10,2,1)
n <- length(data)
data.center <- scale(data, center=TRUE, scale=FALSE)
var.cov.mat <- (1/(n-1)) * data.center %*% t(data.center)
--
Giorgio Garziano
-----Original Message-----
From: David Winsemius [mailto:dwinsemius at comcast.net<mailto:dwinsemius at
comcast.net>]
Sent: domenica 10 maggio 2015 21:27
To: Giorgio Garziano
Cc: r-help at r-project.org<mailto:r-help at r-project.org>
Subject: Re: [R] Variance-covariance matrix
On May 10, 2015, at 4:27 AM, Giorgio Garziano wrote:
> Hi,
>
> I am looking for a R package providing with variance-covariance matrix
computation of univariate time series.
>
> Please, any suggestions ?
If you mean the auto-correlation function, then the stats package (loaded by
default at startup) has facilities:
?acf
# also same help page describes partial auto-correlation function
#Auto- and Cross- Covariance and -Correlation Function Estimation
--
David Winsemius
Alameda, CA, USA
______________________________________________
R-help at r-project.org<mailto:R-help at r-project.org> mailing list -- To
UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
--
Tsjerk A. Wassenaar, Ph.D.
[[alternative HTML version deleted]]