Perhaps something like this:
lapply(split(data1, format(index(data1), "%m")), cov)
On 27/02/2008, Megh Dal <[EMAIL PROTECTED]> 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?
>
>
>
> ---------------------------------
>
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>
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--
Henrique Dallazuanna
Curitiba-Paraná-Brasil
25° 25' 40" S 49° 16' 22" O
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