mcorrTopN

语法

mcorrTopN(X, Y, S, window, top, [ascending=true], [tiesMethod='oldest'])

参数说明和窗口计算规则请参考:mTopN

详情

在给定长度(以元素个数衡量)的滑动窗口内,根据 ascending 指定的排序方式将 XY 按照 S 进行稳定排序后,取前 top 个元素,然后计算 YX 的相关性。

例子

a =  2 5 3 1 9
b = 2 3 1 7 13
s = 6 8 4 2 7

mcorrTopN(a, b, s, 4, 3)
# output
[ , 1, 0.6547, -0.9333, 0.7206]

s2=2021.01.01 2021.02.03 2021.01.23 2021.04.06 2021.12.29
mcorrTopN(a, b, s2, 4, 3)
# output
[ , 1, 0.6547, 0.6547, -0.6547]

a1 = matrix(a, 4 3 6 2 3)
b1=matrix(3 7 9 3 2, b)
s1=matrix(2 3 1 7 3, s)
mcorrTopN(a, b1, s1, 4, 3)
col1 col2
1 1
0.5 0.6547
0.5 -0.9333
-0.9986 0.7206
mcorrTopN(a1, b1, s, 4, 3)
col1 col2
1 -1
0.5 -0.982
0.866 -0.9333
-0.4018 -0.7206
mcorrTopN(a1, b1, s1, 4, 3)
col1 col2
1 -1
0.5 -0.982
0.5 -0.9333
-0.9986 -0.7206
n = 3000
ids = 1..3000
dates = take(2021.01.01..2021.10.01,n)
prices = rand(1000,n)
vals = rand(1000,n)
t = table(ids as id,dates as date,prices as price,vals as val)
dbName = "dfs://test_mcorrTopN_2"
if(existsDatabase(dbName))dropDB(dbName)
db = database(dbName,VALUE,1..5000)
pt = db.createPartitionedTable(t,"pt",`id).append!(t)
select mcorrTopN(price, val, id, 10, 5, true) from pt where date>2021.05.01

相关函数:mcorr