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Grocer >> Time series > var_t

var_t

variances of n ts at a given date

CALLING SEQUENCE

[ts]=var_t(ts1,…,tsn)

PARAMETERS

Input

• tsi = a time series

Output

• ts = the time series whose values are, for each date the variance at this date of the values of the n time series

DESCRIPTION

Computes the timeseries whose values are, for each date, the variance at this date of the values of n time series. Doubtful usefulness, but exists!

EXAMPLE

load(GROCERDIR+'data/bdhenderic.dat') // load Hendry and Ericsson database
y = var_t(delts(lm1),delts(lp),delts(ly))

AUTHOR

Eric Dubois 2002

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