Correlation

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png1
Posts: 6
Joined: Mon Jun 15, 2015 6:55 am

Correlation

Postby png1 » Sun Jul 15, 2018 5:21 am

Hello,

I want to calculate the correlation between two time series objects, which contain 10.000 daily observations. My workfile is unstructured and I want to calculate the correlation for each point in time (= each row) over the last 1000 observations and save the calculation in a new series object.

Any idea?

startz
Non-normality and collinearity are NOT problems!
Posts: 3339
Joined: Wed Sep 17, 2008 2:25 pm

Re: Correlation

Postby startz » Sun Jul 15, 2018 6:12 am

Look at the function

Code: Select all

@movcor(x,y,n)

png1
Posts: 6
Joined: Mon Jun 15, 2015 6:55 am

Re: Correlation

Postby png1 » Sun Jul 15, 2018 9:18 am

That works! Thank you very much startz


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