unique-comoments {PerformanceAnalytics} | R Documentation |
Helper function for comoment matrices
Description
transforms vector with unique coskewness or cokurtosis elements to the full coskewness and cokurtosis matrix. Also works in the reverse direction by extracting the unique coskewness and cokurtosis elements from full the coskewness or cokurtosis matrices.
Usage
M3.vec2mat(M3, p)
M3.mat2vec(M3)
M4.vec2mat(M4, p)
M4.mat2vec(M4)
Arguments
M3 |
matrix of dimension p x p^2, or a vector with (p * (p + 1) * (p + 2) / 6) unique coskewness elements |
p |
number of variables; the number of instruments for which the coskewness or cokurtosis matrix/vector was computed |
M4 |
matrix of dimension p x p^3, or a vector with (p * (p + 1) * (p + 2) * (p + 3) / 12) unique coskewness elements |
Details
For documentation on the coskewness and cokurtosis matrices, we refer to ?CoMoments. Both the full matrices and reduced form can be the output of M3.MM and M4.MM, depending on the optional argument as.mat.
Author(s)
Kris Boudt, Peter Carl, Dries Cornilly, Brian Peterson
See Also
CoMoments
ShrinkageMoments
EWMAMoments
StructuredMoments
MCA
NCE
Examples
data(managers)
p <- ncol(edhec)
# transform coskewness between matrix and vector format
m3 <- M3.MM(edhec, as.mat=TRUE)
m3bis <- M3.vec2mat(M3.MM(edhec, as.mat=FALSE), p)
sum((m3 - m3bis)^2)
# transform cokurtosis between matrix and vector format
m4 <- M4.MM(edhec, as.mat=FALSE)
m4bis <- M4.mat2vec(M4.MM(edhec, as.mat=TRUE))
sum((m4 - m4bis)^2)