Re: Sequence Statistics
Posted by
simone pilozzi on
URL: http://quantlib.414.s1.nabble.com/Sequence-Statistics-tp147p151.html
Thanks,
But is a QuantLibXL object isn't it ? (my routine is C++).
Moreover, is there a method to change only the weights and not the sample data?
Thanks again
On 24 June 2011 09:54, Circo Giuseppe (DAM)
<[hidden email]> wrote:
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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