try TTR.

https://r-forge.r-project.org/projects/ttr/

https://r-forge.r-project.org/scm/viewvc.php/pkg/R/MovingAverages.R?view=markup&revision=103&root=ttr

https://r-forge.r-project.org/scm/viewvc.php/pkg/R/runFun.R?view=markup&revision=95&root=ttr


regards,
daniel


2010/12/3 JOSH CHIEN <joshchien@yahoo.com>

> Hi R users,
> Does anyone know which library has function for EWMA estimates of variance,
> covariance and correlation ?
> thanks a lot.
>
>
> Sincerely,
> Josh
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>
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