hi, Could anyone help me in solving the following error: I have 5 stocks returns data (returns)
EWMA = matrix(nrow=T,ncol=5) # create a matrix to hold the covariance matrix for each t lambda = 0.94 S<-cov(returns) # initial (t=1) covariance matrix EWMA[1,] = c(S)[c(1,4,2)] ---ERROR # extract the variances and covariancefor (i in 2:T) { # loop though the sample S<- lambda*S+(1-lambda)*t(returns[i])%*%returns[i] EWMA[i,] = c(S)[c(1,4,2)] # convert matrix to vector } *ERROR as follows:* *> EWMA[1,]<-c(S)[c(1,4,2)]* *Error in EWMA[1, ] <- c(S)[c(1, 4, 2)] : * * number of items to replace is not a multiple of replacement length* [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list 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.