Code for the examples in ``Lugsail lag windows for estimating time-average covariance matrices'' by Dootika Vats and James M. Flegal available here.
The *.R files inside Examples/ have long runtimes so outputs from them have been saved with the .Rout files. (Runtimes are also available in the .Rout files).
The plots and tables can be reproduced using saved objects inside the subfolders. Run the ``vj_lugsailOutput.R'' to create these plots.