cov.ct

Computes the covariance matrix of a continuous-time multivariate
data set represented as an <code>fd</code> object; or the
cross-covariance matrix of two such data sets.

Implements a basis function or functional data analysis framework
for several techniques of multivariate analysis in continuous-time
setting. Specifically, we introduced continuous-time analogues of
several classical techniques of multivariate analysis, such as
principal component analysis, canonical correlation analysis,
Fisher linear discriminant analysis, K-means clustering, and so
on. Details are in Biplab Paul, Philip T. Reiss, Erjia Cui and Noemi Foa (2025)
"Continuous-time multivariate analysis" <doi: 10.1080/10618600.2024.2374570>.

Biplab Paul

ctmva

Continuous-Time Multivariate Analysis

Philip Tzvi Reiss

Noemi Foa

Dror Arbiv

cov.ct function

<dl><dt>fdobj1</dt>
<dd>continuous-time multivariate data set of class <code>"fd"</code></dd>
<dt>fdobj2</dt>
<dd>an optional second data set</dd>
<dt>common_trend</dt>
<dd>logical: centering with respect to the mean function if <code>TRUE</code>,
without centering if <code>FALSE</code> (the default)</dd></dl>

Arguments

Biplab Paul &lt;paul.biplab497@gmail.com&gt; and Philip Tzvi Reiss &lt;reiss@stat.haifa.ac.il&gt;

Author

Continuous-time covariance or cross-covariance matrix — cov.ct

<dl>

<dt>fdobj1</dt>
<dd>continuous-time multivariate data set of class <code>"fd"</code></dd>


<dt>fdobj2</dt>
<dd>an optional second data set</dd>


<dt>common_trend</dt>
<dd>logical: centering with respect to the mean function if <code>TRUE</code>,
without centering if <code>FALSE</code> (the default)</dd>

</dl>

cov.ct: Continuous-time covariance or cross-covariance matrix

Description

Usage

Value

Arguments

Author

See Also

Examples