Compute Covariance Matrix for real and foretasted data error
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Dear All,
I have one year hourly real and forecasted energy price data.I need to compute covariance matrix for error.I want to put this matrix for daily operation,which means this matrix must be 24*24.
Thank you for your guidance.
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Matt J
le 29 Sep 2013
Use the COV command.
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Matt J
le 1 Oct 2013
mehrdad,
Applying the COV command to a 365x24 matrix should have given you a 24x24 covariance matrix as in the following short example
>> A=rand(365,24); B=cov(A); whos B
Name Size Bytes Class Attributes
B 24x24 4608 double
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