hi,
Could anyone help me in solving the following error:
I have 5 stocks returns data (returns)
EWMA = matrix(nrow=T,ncol=5) # create a matrix to hold the
covariance matrix for each t
lambda = 0.94
S<-cov(returns) # initial (t=1)
covariance matrix
EWMA[1,] = c(S)[c(1,4,2)] ---ERROR # extract the
variances and covariancefor (i in 2:T)
{ # loop though the sample
S<- lambda*S+(1-lambda)*t(returns[i])%*%returns[i]
EWMA[i,] = c(S)[c(1,4,2)] # convert matrix to vector }
*ERROR as follows:*
*> EWMA[1,]<-c(S)[c(1,4,2)]*
*Error in EWMA[1, ] <- c(S)[c(1, 4, 2)] : *
* number of items to replace is not a multiple of replacement length*
[[alternative HTML version deleted]]
______________________________________________
[email protected] mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
