mcovar
Syntax
mcovar(X, Y, window, [minPeriods])
Please see Moving Functions (m-functions) for the parameters and windowing logic.
Details
Calculate the moving covariance of X and Y in a sliding window.
Examples
$ x=1..10;
$ y=9 5 3 4 5 4 7 1 3 4;
$ mcovar(x,y,5);
[,,,,-2.25,0,2,-1,-1.75,-1]
$ mcovar(x, y, 5, 3);
[,,-3,-2.833333,-2.25,0,2,-1,-1.75,-1]
$ x1 = indexedSeries(date(2020.06.05)+1..10, x)
$ y1 = indexedSeries(date(2020.06.05)+1..10, y)
$ mcovar(x1,y1,5d)
label |
col1 |
|---|---|
2020.06.06 |
|
2020.06.07 |
-2 |
2020.06.08 |
-3 |
2020.06.09 |
-2.8333 |
2020.06.10 |
-2.25 |
2020.06.11 |
0 |
2020.06.12 |
2 |
2020.06.13 |
-1 |
2020.06.14 |
-1.75 |
2020.06.15 |
-1 |
$ mcovar(x1,y1,1w)
label |
col1 |
|---|---|
2020.06.06 |
|
2020.06.07 |
-2 |
2020.06.08 |
-3 |
2020.06.09 |
-2.8333 |
2020.06.10 |
-2.25 |
2020.06.11 |
-2.4 |
2020.06.12 |
-1 |
2020.06.13 |
-0.6667 |
2020.06.14 |
-0.6667 |
2020.06.15 |
-1.6667 |