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

[Henrique Dallazuanna]

You can't calculate the var indeed of cov

On 28/02/2008, Megh Dal <megh700004 at yahoo.com> 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 =
> "%m/%d/%y"),as.Date("06/25/02", format = "%m/%d/%y"), by = 1)
> > len = length(date.data)
> > data1 = zoo(matrix(rnorm(len), nrow = len),  date.data )
> > head(data1)
>
> 2001-01-01 -1.5128990
> 2001-01-02 -0.2939971
> 2001-01-03  1.6387866
> 2001-01-04 -0.8107857
> 2001-01-05  0.7966224
> 2001-01-06  0.6007594
> >
> > lapply(split(data1, format(index(data1), "%m")), cov)
> Error in FUN(X[[1L]], ...) : supply both 'x' and 'y' or a matrix-like 'x'
>
> However I tried with an 'ifelse' condition :
> > lapply(split(data1, format(index(data1), "%m")), ifelse(dim(data1)[1] > 1,
> cov, var))
>
> Still I am getting error. What to do?
>
>
> Henrique Dallazuanna <wwwhsd at gmail.com> wrote:
> Perhaps something like this:
>
> lapply(split(data1, format(index(data1), "%m")), cov)
>
> On 27/02/2008, Megh Dal 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 = length(date.data)
> > data1 = zoo(matrix(rnorm(2*len), nrow = len), date.data )
> > head(data1)
> >
> > Now I want to create an 3 dimensional array (suppose name " var.cov")
> where, var.cov[,,i] gives the Variance-covariance matrix for i-th month of
> data1. That is I want to calculate monthly variance-covariance matrix on
> non-overlapping rolling window basis.
> >
> > Any suggestion?
> >
> >
> >
> > ---------------------------------
> >
> > [[alternative HTML version deleted]]
> >
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> >
>
>
> --
> Henrique Dallazuanna
> Curitiba-Paraná-Brasil
> 25° 25' 40" S 49° 16' 22" O
>
>
>
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-- 
Henrique Dallazuanna
Curitiba-Paraná-Brasil
25° 25' 40" S 49° 16' 22" O