variance-covariance matrix EWMA

Hi, I have used the code tsmovavg to calculate the exponentially weighted moving average, but now I need to calculate its variance covariance matrix. Is there somone that can explain me how I can do it? By considering, also, that my variable is a 143*14 matrix, then I need that the variance covariance matrix will be a 14*14*143. Thank you for your help.

Answer 1

[charles alexander]

it is simple, the matrix is distributive.

a(bk)=ab(K). the variable k is 14.

i suggest this matrix;

{a1n a2n a10} by {a6 a10} by {1 1}

{a1 a2 a5} {1 1} {1 sigma 50}.

these reduces the matrix to an equivalent cofactors to determine the

associated elements.