SCCor function

Sample Constrained Correlations

Compute the sample constrained correlation matrices

SCCor(rt,end,span,grp)

Arguments

• rt: A T-by-k data matrix of a k-dimensional time series
• end: The time index of the last data point to be used in computing the sample correlations.
• span: The size of the data span used to compute the correlations.
• grp: A vector of group sizes. The time series in the same group are pooled to compute the correlation matrix.

Returns

• unconCor: Un-constrained sample correlation matrix

• conCor: Constrained sample correlation matrix

Author(s)

Ruey S. Tsay

Note

This is an internal function, not intended to be a general command

Examples

rt=matrix(rnorm(1000),200,5)
grp=c(3,2)
m1=SCCor(rt,200,200,grp)
m1$unconCor
m1$conCor