RainbowStats™ · Statistics commands

COVVAR

Compute a covariance matrix or pairwise covariance.

Syntax

COVVAR(listOrMatrix)
COVVAR(firstSeries,secondSeries)

Example or template

COVVAR(LIST(LOGDIFF(INDPRO),LOGDIFF(PAYEMS)))

Details

One argument uses DataSeriesList.getCovarianceMatrix or Matrix.getCovarianceMatrix. Two arguments use the first operator getCovVar method. Alignment, missing data and denominator conventions remain in those implementations. Matching series codes are handled using a temporarily renamed copy of the second input so list alignment retains both columns.

Model validation and rendering follow the installed implementation. Object placeholders such as DENSITY refer to variables you supply.