mcorrTopN
Syntax
mcorrTopN(X, Y, S, window, top, [ascending=true])
Please see Moving TopN Functions (mTopN functions) for the parameters and windowing logic.
Details
After stably sorting S in the specified ascending order, the function calculates the correlation of the first top pairs of elements in X and Y in the sliding window.
Examples
$ a = 2 5 3 1 9
$ b = 2 3 1 7 13
$ s = 6 8 4 2 7
$ mcorrTopN(a, b, s, 4, 3)
[ , 1, 0.6547, -0.9333, 0.7206]
$ s2=2021.01.01 2021.02.03 2021.01.23 2021.04.06 2021.12.29
$ mcorrTopN(a, b, s2, 4, 3)
[ , 1, 0.6547, 0.6547, -0.6547]
$ a1 = matrix(a, 4 3 6 2 3)
$ b1=matrix(3 7 9 3 2, b)
$ s1=matrix(2 3 1 7 3, s)
$ mcorrTopN(a, b1, s1, 4, 3)
col1 |
col2 |
|---|---|
1 |
1 |
0.5 |
0.6547 |
0.5 |
-0.9333 |
-0.9986 |
0.7206 |
$ mcorrTopN(a1, b1, s, 4, 3)
col1 |
col2 |
|---|---|
1 |
-1 |
0.5 |
-0.982 |
0.866 |
-0.9333 |
-0.4018 |
-0.7206 |
$ mcorrTopN(a1, b1, s1, 4, 3)
col1 |
col2 |
|---|---|
1 |
-1 |
0.5 |
-0.982 |
0.5 |
-0.9333 |
-0.9986 |
-0.7206 |
$ n = 3000
$ ids = 1..3000
$ dates = take(2021.01.01..2021.10.01,n)
$ prices = rand(1000,n)
$ vals = rand(1000,n)
$ t = table(ids as id,dates as date,prices as price,vals as val)
$ dbName = "dfs://test_mcorrTopN_2"
$ if(existsDatabase(dbName))dropDB(dbName)
$ db = database(dbName,VALUE,1..5000)
$ pt = db.createPartitionedTable(t,"pt",`id).append!(t)
$ select mcorrTopN(price, val, id, 10, 5, true) from pt where date>2021.05.01
Related function: mcorr