mcovar

mcovar(X, Y, window, [minPeriods])

Please see mFunctions for the parameters and windowing logic.

Calculate the moving covariance of X and Y in a sliding window.

x=1..10;
y=9 5 3 4 5 4 7 1 3 4;
mcovar(x,y,5);
// output
[,,,,-2.25,0,2,-1,-1.75,-1]

mcovar(x, y, 5, 3);
// output
[,,-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)

mcovar(x1,y1,1w)

Related functions: covar, mcorr, mstd, mvar