Correlation
Posted: 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?
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?