covarianceSF.Rd

% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/stat.factor.model.R
\name{covarianceSF}
\alias{covarianceSF}
\title{Covariance Matrix Estimate}
\usage{
covarianceSF(beta, stockM2, factorM2)
}
\arguments{
\item{beta}{vector of length N or (N x 1) matrix of factor loadings 
(i.e. the betas) from a single factor statistical factor model}

\item{stockM2}{vector of length N of the variance (2nd moment) of the 
model residuals (i.e. idiosyncratic variance of the stock)}

\item{factorM2}{scalar value of the 2nd moment of the factor realizations 
from a single factor statistical factor model}
}
\value{
(N x N) covariance matrix
}
\description{
Estimate covariance matrix using a single factor statistical factor model
}
\details{
This function estimates an (N x N) covariance matrix from a single factor 
statistical factor model with k=1 factors, where N is the number of assets.
}