Is there a function the calculates an exponentially weighted covariance matrix in R?

I recall seeing a function some time ago… I cannot turn up any thing in "R Search" or Task View pages.

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# Solved – How to compute an exponentially weighted covariance matrix function in R?

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Is there a function the calculates an exponentially weighted covariance matrix in R?

I recall seeing a function some time ago… I cannot turn up any thing in "R Search" or Task View pages.

## Best Answer

Slow morning, or too little coffee?

Go to http://rseek.org

Type in 'weighted covariance'

Hit the 'Functions' tab.

Pick one of the four or five suggestions functions / packages.