Re: [R] Calculating monthly var-cov matrix on non-overlapping rooling window basis

You can't calculate the var indeed of cov On 28/02/2008, Megh Dal [EMAIL PROTECTED] wrote: Thanks Henrique for this mail. It works fine. However I need one more modification. When number of column is 1 then some error is coming : library(zoo) date.data = seq(as.Date(01/01/01, format =

[R] Calculating monthly var-cov matrix on non-overlapping rooling window basis

let create a 'zoo' object : library(zoo) date.data = seq(as.Date(01/01/01, format = %m/%d/%y), as.Date(06/25/02, format = %m/%d/%y), by = 1) len = length(date.data) data1 = zoo(matrix(rnorm(2*len), nrow = len), date.data ) head(data1) Now I want to create an 3 dimensional

Re: [R] Calculating monthly var-cov matrix on non-overlapping rooling window basis

Perhaps something like this: lapply(split(data1, format(index(data1), %m)), cov) On 27/02/2008, Megh Dal [EMAIL PROTECTED] wrote: let create a 'zoo' object : library(zoo) date.data = seq(as.Date(01/01/01, format = %m/%d/%y), as.Date(06/25/02, format = %m/%d/%y), by = 1) len =

Re: [R] Calculating monthly var-cov matrix on non-overlapping rooling window basis

Thanks Henrique for this mail. It works fine. However I need one more modification. When number of column is 1 then some error is coming : library(zoo) date.data = seq(as.Date(01/01/01, format = %m/%d/%y),as.Date(06/25/02, format = %m/%d/%y), by = 1) len = length(date.data) data1 =