Mean and covariance matrix
- To: mathgroup at smc.vnet.net
- Subject: [mg82454] Mean and covariance matrix
- From: KTugbawa at gmail.com
- Date: Sat, 20 Oct 2007 06:01:00 -0400 (EDT)
Using FinancialData[],
1.Download the price data of GE needed to compute daily returns for
any trading days from {2000, 1, 1} to {2007, 10, 17}, inclusive, and
then compute the daily returns.
2.Using the return data compute a raw mean vector and covariance
matrix.
I was able to do part 1,but i am not too sure if I did question 2
correctly.
For the mean,I said
Mean[GEData], and I got a number instead of a vector. I did the same
for the Covariance, and I got a single number instead of a vector. Can
someone please tell me if I am not doing it the right way?