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- Thu Aug 25, 2011 8:07 am
- Forum: Data Manipulation
- Topic: Correlation within rolling time period across large series
- Replies: 1
- Views: 3394
Correlation within rolling time period across large series
I have a time series with several thousand observations and want to examine it for correlation within rolling twenty-day periods (so that, for example, if I had 4000 observations, I would have 3,980 different correlograms to examine). I would then like to slice and dice the correlation data into new...