Ticket #329: ej_rv_cov.tol

#Require RandVar;

Date begin = y2000;
Date end = y2000m12;
Serie mean = SubSer(Rand(0, 3, Monthly), begin, end);

RandVar::@Serie.Normal serieN = RandVar::@Serie.Normal::Default(mean, 0.5);
Matrix serieN::GetCovariance(?);
Matrix serieN::GetCorrelation(?);

RandVar::@Serie.BoxCoxNormal serieB = RandVar::@Serie.BoxCoxNormal
  ::Default(0, 0, mean, mean*0+0.5);
Matrix serieB::GetCovariance(?);
Matrix serieB::GetCorrelation(?);

RandVar::@Serie.ARIMA serieA = RandVar::@Serie.ARIMA
  ::Initials([[
  ARIMAStruct(1, 1-0.9*B, 1-0.6*B^6, 1)
]], 0.5, begin, end, Rand(1, 2, Monthly), Gaussian(0, 0.5, Monthly));
Matrix serieA::GetCovariance(?);
Matrix serieA::GetCorrelation(?);

RandVar::@Serie.Sample serieS = RandVar::@Serie.Sample::Default(
  For(1, 1000, Serie (Real i) { serieB::GetExperiment(?) })
);
Matrix serieS::GetCovariance(?);
Matrix serieS::GetCorrelation(?);