Hi Giorgio, No need for a package. Please check function var (?var).
Regards, Pascal On Mon, May 11, 2015 at 3:17 PM, Giorgio Garziano <giorgio.garzi...@ericsson.com> wrote: > 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. -- Pascal Oettli Project Scientist JAMSTEC Yokohama, Japan ______________________________________________ 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.
