mcgf (version 1.1.1)

ccov.mcgf: Covariance/correlation for joint distribution of an mcgf object

Description

Covariance/correlation for joint distribution of an mcgf object

Usage

# S3 method for mcgf
ccov(x, model = c("all", "base", "empirical"), cor = FALSE, ...)

Value

Joint covariance/correlation matrix.

Arguments

x

An mcgf object.

model

Which model to use. One of all, base, and empirical.

cor

Logical; if TRUE, correlation is outputted.

...

Additional arguments. Not in use.

Examples

data(sim1)
sim1_mcgf <- mcgf(sim1$data, dists = sim1$dists)
sim1_mcgf <- add_acfs(sim1_mcgf, lag_max = 5)
sim1_mcgf <- add_ccfs(sim1_mcgf, lag_max = 5)

# Fit a separable model and store it to 'sim1_mcgf'
fit_sep <- fit_base(
    sim1_mcgf,
    model = "sep",
    lag = 5,
    par_init = c(
        c = 0.001,
        gamma = 0.5,
        a = 0.3,
        alpha = 0.5
    ),
    par_fixed = c(nugget = 0)
)
sim1_mcgf <- add_base(sim1_mcgf, fit_base = fit_sep)

ccov(sim1_mcgf, model = "base")