mcovar
Syntax
mcovar(X, Y, window, [minPeriods])
Please see mFunctions 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);
// 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)| 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 |