mcorr

swordfish.function.mcorr()

Calculate the correlation of X and Y in a sliding window.

Parameters:

• X (Constant) – A vector/matrix/table/tuple (with scalars or equal-length vectors)/dictionary.

• Y (Constant) – A vector/matrix/table/tuple (with scalars or equal-length vectors)/dictionary.

• window (Constant) – An integer no smaller than 2 or a scalar of DURATION type indicating the size of the sliding window. Note: The window size is capped at 102400 when m-functions are used in the streaming engines.

• minPeriods (Constant, optional) – A positive integer indicating the minimum number of observations in a window required to be not null (otherwise the result is NULL).