tmcovar
Syntax
tmcovar(T, X, Y, window)
Please see Time-Based Moving Functions (tm-functions) for the parameters and windowing logic.
Details
Calculate the moving covariance of X and Y in a sliding window.
Examples
$ T = 1 1 1 2 5 6
$ X = 1 4 2 -1 2 4
$ Y = 2 5 -3 6 9 1
$ m = table(T as t,X as x, Y as y)
$ select *, tmcovar(t, y, x, 3) from m
t |
x |
y |
tmbeta_t |
|---|---|---|---|
1 |
1 |
2 |
|
1 |
4 |
5 |
4.5 |
1 |
2 |
-3 |
3.3333 |
2 |
-1 |
6 |
-1.6667 |
5 |
2 |
9 |
|
6 |
4 |
1 |
-8 |
$ T = 2021.01.02 2021.01.02 2021.01.04 2021.01.05 2021.01.07 2021.01.08
$ X = 1 4 2 -1 2 4
$ Y = 2 5 -3 6 9 1
$ m = table(T as t,X as x, Y as y)
$ select *, tmcovar(t, y, x, 3d) from m
t |
x |
y |
tmcorr_t |
|---|---|---|---|
2021.01.02 |
1 |
2 |
|
2021.01.02 |
4 |
5 |
4.5 |
2021.01.04 |
2 |
-3 |
3.3333 |
2021.01.05 |
-1 |
6 |
-13.5 |
2021.01.07 |
2 |
9 |
4.5 |
2021.01.08 |
4 |
1 |
-8 |
$ select *, tmcovar(t, y, x, 1w) from m
t |
x |
y |
tmcorr_t |
|---|---|---|---|
2021.01.02 |
1 |
2 |
|
2021.01.02 |
4 |
5 |
4.5 |
2021.01.04 |
2 |
-3 |
3.3333 |
2021.01.05 |
-1 |
6 |
-1.6667 |
2021.01.07 |
2 |
9 |
-0.6 |
2021.01.08 |
4 |
1 |
-1.6 |