Hi Tsjerk, Yes, I understand your point. Thanks for drawing my attention on that aspect.
Let me then rephrase my question. I would need some R package function able to compute the variance-covariance matrix for multivariate series as defined at: http://stattrek.com/matrix-algebra/covariance-matrix.aspx About what outlined in the book reference I mentioned, I shall open a separate thread in the case. Thanks. --- Giorgio Genoa, Italy From: Tsjerk Wassenaar [mailto:tsje...@gmail.com] Sent: domenica 10 maggio 2015 22:31 To: Giorgio Garziano Cc: r-help@r-project.org Subject: Re: [R] Variance-covariance matrix Hi Giorgio, This is for a multivariate time series. x1 is variable 1 of the observation vector x, x2, variable 2, etc. If you need x(i) and x(i+1), etc, then you're looking for the autocovariance/autocorrelation matrix, which is a quite different thing (and David showed the way). You can easily see that you don't have N-1 degrees of freedom per entry, because you have fewer 'observations' for larger lag times. Cheers, Tsjerk On Sun, May 10, 2015 at 10:25 PM, Giorgio Garziano <giorgio.garzi...@ericsson.com<mailto:giorgio.garzi...@ericsson.com>> wrote: Hi Tsjerk, Yes, seriously. Time series: X = [x1, x2, x3, ....,xn] The variance-covariance matrix is V matrix: V = Σ x12 / (N-1) Σ x1 x2 / (N-1) . . . Σ x1 xn / (N-1) Σ x2 x1 / (N-1) Σ x22 / (N-1) . . . Σ x2 xn / (N-1) . . . . . . . . . . . . Σ xn x1 / (N-1) Σ xn x2 / (N-1) . . . Σ 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:tsje...@gmail.com<mailto:tsje...@gmail.com>] Sent: domenica 10 maggio 2015 22:11 To: Giorgio Garziano Cc: r-help@r-project.org<mailto:r-help@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.garzi...@ericsson.com<mailto:giorgio.garzi...@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:dwinsem...@comcast.net<mailto:dwinsem...@comcast.net>] Sent: domenica 10 maggio 2015 21:27 To: Giorgio Garziano Cc: r-help@r-project.org<mailto: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 ______________________________________________ R-help@r-project.org<mailto:R-help@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. -- Tsjerk A. Wassenaar, Ph.D. [[alternative HTML version deleted]] ______________________________________________ R-help@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.