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variance-covariance matrix EWMA

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Michela
Michela on 15 Apr 2016
Edited: charles alexander on 21 Nov 2020
Hi, I have used the code tsmovavg to calculate the exponentially weighted moving average, but now I need to calculate its variance covariance matrix. Is there somone that can explain me how I can do it? By considering, also, that my variable is a 143*14 matrix, then I need that the variance covariance matrix will be a 14*14*143. Thank you for your help.

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Answers (1)

charles alexander
charles alexander on 21 Nov 2020
Edited: charles alexander on 21 Nov 2020
it is simple, the matrix is distributive.
a(bk)=ab(K). the variable k is 14.
i suggest this matrix;
{a1n a2n a10} by {a6 a10} by {1 1}
{a1 a2 a5} {1 1} {1 sigma 50}.
these reduces the matrix to an equivalent cofactors to determine the
associated elements.

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