Displaying 1 result from an estimated 1 matches for "autocovar".
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autocorr
2006 May 29
0
troubles with kzft
I need to compute the Fourier transformation of the autocovariance
function of a panel composed by 196 time series.
With autocovarance function i mean a matrix Gamma(u) which contains the
covariance of all the variables at time (t) with all the variables
evaluated at time (t-u). It can be represented by a tri-dimensional
matrix whose dimensions are (196,1...