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2007 Mar 15
0
Covariance matrix calc method question
...two procedures is different. The
R package
computes the covariance matrix using Method 1 and I think ( but I'm not
sure ) that S+Finmetrics computes it
using Method 2.
I put in a correctionfactor (see below ) in to Method 2 in order to deal
with the fact that the var function
calculates the unnbiased estimate of variance. This gives the same
answer in both problems for the
data shown which I just made up. But, my hope is that , for much larger
problems, leaving the correction factor
out can maybe cause huge differences in the determinant ? That would
explain why some of the output ( AIC, BIC...