Hello, I would like to use the function EWMA() in the fMultivar Package and I
have a series of data x, which is the returns series. Basically, I would
like to get the variance estimation using EWMA.
I am trying something like EWMA(x, lambda) and I have a couple of questions:
Should x be the
] EWMA in fMultivar
Hello, I would like to use the function EWMA() in the fMultivar Package
and I
have a series of data x, which is the returns series. Basically, I would
like to get the variance estimation using EWMA.
I am trying something like EWMA(x, lambda) and I have a couple of
questions
: Tuesday, July 03, 2007 10:59 AM
To: r-help@stat.math.ethz.ch
Subject: [R] EWMA in fMultivar
Hello, I would like to use the function EWMA() in the fMultivar Package
and I have a series of data x, which is the returns series. Basically, I
would like to get the variance estimation using EWMA.
I am trying
