tmcorr

语法

tmcorr(T, X, Y, window)

参数说明和窗口计算规则请参考:tmFunctions

详情

在给定长度(以时间长度衡量)的滑动窗口内,计算 XY 元素的相关性。

例子

T = 1 1 1 2 5 6
X = 1 4 2 -1 2 4
Y = 2 5 -3 6 9 1
m = table(T as t,X as x, Y as y)
select *, tmcorr(t, y, x, 3) from m
t x y tmcorr_t
1 1 2
1 4 5 1
1 2 -3 0.5399
2 -1 6 -0.1981
5 2 9
6 4 1 -1
T = 2021.01.02 2021.01.02  2021.01.04  2021.01.05 2021.01.07 2021.01.08
X = 1 4 2 -1 2 4
Y = 2 5 -3 6 9 1
m = table(T as t,X as x, Y as y)
select *, tmcorr(t, y, x, 3d) from m
t x y tmcorr_t
2021.01.02 1 2
2021.01.02 4 5 1
2021.01.04 2 -3 0.5399
2021.01.05 -1 6 -1
2021.01.07 2 9 1
2021.01.08 4 1 -1
select *, tmcorr(t, y, x, 1w) from m
t x y tmcorr_t
2021.01.02 1 2
2021.01.02 4 5 1
2021.01.04 2 -3 0.5399
2021.01.05 -1 6 -0.1981
2021.01.07 2 9 -0.0726
2021.01.08 4 1 -0.1995

相关函数:mcorr, corr