Compute Covariance Matrix for real and foretasted data error

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.

Answer 1

[Matt J]

Use the COV command.

[mehrdad]

Dear Matt,

Thank you very much for your guidance,i have calculated hourly error for 365*24,and used cov command for error variance calculation,given me 365*24 matrix,i need to do this calculation for 24 hours,means ,cov error matrix must be 24*24,I have attached my data in excel,please if possible,guide and help me.

Many thanks,

[Matt J]

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