Re: Sequence Statistics
Posted by
Circo Giuseppe (DAM) on
URL: http://quantlib.414.s1.nabble.com/Sequence-Statistics-tp147p150.html
Hi,
you can give a binary weight of 0 or 1 to your datas that
will be updated with your rolling period,
use qlSequenceStatistics2
regards,
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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