ewmCov

ewmCov(X, [com], [span], [halfLife], [alpha], [minPeriods=0], [adjust=true], [ignoreNA=false], [other], [bias=false])

Calculate exponentially weighted moving covariance of X and other.

Exactly one of the parameters com, span, halfLife and alpha must be specified.

X is a numeric vector.

com (optional) is a non-negative floating number and specifies decay in terms of center of mass. alpha=1/(1+com) where alpha is the decay factor.

span (optional) is a positive floating number larger than 1 and specifies decay in terms of span. alpha=2/(span+1).

halfLife (optional) is a positive floating number and specifies decay in terms of half-life. alpha=1-exp(log(0.5)/halfLife).

alpha (optional) is a floating number between 0 and 1 and directly specifies decay.

minPeriods (optional) is an integer indicating the minimum number of observations in window required to have a value (otherwise result is NULL). The default value is 0.

ignoreNA (optional) is a Boolean value indicating whether to ignore missing values. The defaut value is false.

other (optional) is a numeric vector of the same length as X.

bias (optional) is a Boolean value indicating whether the result is biased. The default value is false, meaning the bias is corrected.

a=[0,1,2,int(),4]
b=[2,4,3,6,5]
ewmCov(X=a,other=b,com=0.5);
// output
[,1,-0.038462,-0.038462,2.112637]

ewmCov(X=a,other=b,com=0.5,ignoreNA=true);
// output
[,1,-0.038462,-0.038462,1.969231]

n = 20
colNames = `time`sym`qty`price
colTypes = [TIME,SYMBOL,INT,DOUBLE]
t1 = table(n:0, colNames, colTypes)
insert into t1 values(09:30:00.001,`AAPL,100,56.5)
insert into t1 values(09:30:00.001,`AAPL,200,30.5)
insert into t1 values(09:30:00.001,`DELL,150,35.5)
insert into t1 values(09:30:00.001,`DELL,170,60.5)
insert into t1 values(09:30:00.001,`DELL,130,40.5)
b=[2,4,3,6,5]
ewmCov(X=t1,other=b,com=0.5);