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:dwinsem...@comcast.net]
Sent: domenica 10 maggio 2015 21:27
To: Giorgio Garziano
Cc: r-help@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
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