Displaying 1 result from an estimated 1 matches for "covariancefor".
2013 Jul 17
2
EWMA error
...I have 5 stocks returns data (returns)
EWMA = matrix(nrow=T,ncol=5) # create a matrix to hold the
covariance matrix for each t
lambda = 0.94
S<-cov(returns) # initial (t=1) covariance matrix
EWMA[1,] = c(S)[c(1,4,2)] ---ERROR # extract the
variances and covariancefor (i in 2:T)
{ # loop though the sample
S<- lambda*S+(1-lambda)*t(returns[i])%*%returns[i]
EWMA[i,] = c(S)[c(1,4,2)] # convert matrix to vector }
*ERROR as follows:*
*> EWMA[1,]<-c(S)[c(1,4,2)]*
*Error in EWMA[1, ] <- c(S)[c(1, 4, 2)] : *
* number of items to replace is not...