Sequence Statistics

Posted by simone pilozzi on
URL: http://quantlib.414.s1.nabble.com/Sequence-Statistics-tp147.html

Dear Users,

 

I was wondering if there's a rapid method to  update a sequence statistic.

The purpose is to compute a covariance matrix from a dataset of time series using a "rolling window"  with constant length and floating start/end date.

It would be then helpful to start with an initial dataset of n time series and, at each step, add the new observation and drop the last ,instead of recreate the sequence statistics object from scratch.

Is it feasible? Or does it exist another  "smart" solution?

Thanks in advance

Simone

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