freqdom (version 1.0.4)

cov.structure: Estimate the covariance structure within a given window \(k \in [-q,q]\)

Description

Given two multivariate time series \(X_t\) and \(Y_t\) estimates the covariances of \(Cov(X_{k} Y_0)\) for \(k \in [-q,q]\). lagged.cov is used for the estimation at each lag.

Usage

cov.structure(X, Y = NULL, q = 10)

Arguments

X

first process

Y

second process, if null then autocovariance of X is computed

q

size of the window (covariances from -q to q will be computed)

Value

a time domain operator

Examples

# NOT RUN {
X = rar(100)
Y = rar(100)
cov.structure(X,Y)
# }