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cov

Covariance matrix for financial time series object

cov is not recommended. Use timetable instead. For more information, see Convert Financial Time Series Objects fints to Timetables.

Description

example

cov(X) returns a variance or covariance matrix.

If X is a financial time series object with one series, cov(X) returns the variance. For a financial time series object containing multiple series, where each row is an observation, and each series a variable, cov(X) is the covariance matrix.

diag(cov(X)) is a vector of variances for each series and sqrt(diag(cov(X))) is a vector of standard deviations.

cov(X) normalizes by (N -1) if N > 1, where N is the number of observations. This makes cov(X) the best unbiased estimate of the covariance matrix if the observations are from a normal distribution. For N = 1, cov normalizes by N.

cov for financial time series objects is based on the MATLAB® cov function. See cov.

example

cov(X,1) normalizes by N and produces the second moment matrix of the observations about their mean. cov(X, Y, 0) is the same as cov(X, Y) and cov(X, 0) is the same as cov(X). The mean is removed from each column before calculating the result.

example

cov(X,Y) normalizes by N and produces the second moment of the sample about its mean. var(X, 0) is the same as var(X).

cov(X,Y) normalizes by (N -1) if N > 1, where N is the number of observations. This makes cov(X,Y) the best unbiased estimate of the covariance matrix if the observations are from a normal distribution. For N = 1, cov normalizes by N. cov(X, Y), where X and Y are financial time series objects with the same number of elements, is equivalent to cov([X(:) Y(:)]).

example

cov(X,Y,1) normalizes by N and produces the second moment matrix of the observations about their mean. cov(X, Y, 0) is the same as cov(X, Y) and cov(X, 0) is the same as cov(X). The mean is removed from each column before calculating the result.

Examples

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This example shows how to create a covariance matrix for the following dates.

dates = {'01-Jan-2007';'02-Jan-2007';'03-Jan-2007'};
A = [-1 1 2 ; -2 3 1 ; 4 0 3];
f = fints(dates, A);
Warning: FINTS is not recommended. Use TIMETABLE instead. For more information, see <a href="matlab:web(fullfile(docroot, 'finance/convert-from-fints-to-timetables.html'))">Convert Financial Time Series Objects (fints) to Timetables</a>.
c = cov(f)
Warning: FINTS is not recommended. Use TIMETABLE instead. For more information, see <a href="matlab:web(fullfile(docroot, 'finance/convert-from-fints-to-timetables.html'))">Convert Financial Time Series Objects (fints) to Timetables</a>.
c = 3×3

   10.3333   -4.1667    3.0000
   -4.1667    2.3333   -1.5000
    3.0000   -1.5000    1.0000

Input Arguments

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Financial time series object, specified as a fints object.

Data Types: object

Financial time series object, specified as a fints object.

Data Types: object

Version History

Introduced before R2006a

See Also

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