MovCoef
MovCoef-func
Description
This function takes two vectors and returns a vector of moving correlation coefficients of adjacent ranges [i-back, i+forward], for a point i. The part of range beyond the input vector is dropped.
/math-83002b7e033db38f66c7ca477e2e2343.png "\frac{\overline{v_1v_2}-\bar{v_1}\bar{v_2}}{\sqrt{(\bar{v_1^2}-\bar{v_1}\bar{v_1})(\bar{v_2^2}-\bar{v_2}\bar{v_2})}}")
within the window [i-back, i+forward]
Syntax
vector MovCoef(vector v1, vector v2, int back, int forward[, int missing])
Parameters
v1
- A data vector
v2
- A second data vector
back
- Backward window. At any given i, backward window is defined by i - back.
forward
- Forward window. At any given i, forward window is defined by i + forward.
missing
-
Optional. Determine how to deal with the missing value in the adjacent range.
- 0 = omits missing values from the calculation. This is the default value.
- 1 = includes missing values in the calculation. That means, if an adjacent range includes missing its output will be missing;
- 2 = omits missing values from the calculation but keeps missing in the ouput. That means, if a row is missing, its output will be missing.
- Please refer to example 2 to see the difference.
Return
Return the moving correlation vector.
Example
Example 1
MovCoef(col(2), col(3), 20, 0);
Example 2
newbook;
col(A) = {4,8,6,-1,NAN,-3,-1, 3, 4, 5};
col(B) = {1,2,3,4,5,6,7, 8, 9, 10};
col(C) = MovCoef(col(A),col(B),3,0,0); //returns [-- 1 0.5 -0.56825 -1.19763 -1.00447 -0.47434 0.65738 0.97683 0.93267]
col(D) = MovCoef(col(A),col(B),3,0,1); //returns [-- 1 0.5 -0.56825 -- -- -- -- 0.97683 0.93267]
col(E) = MovCoef(col(A),col(B),3,0,2); //returns [-- 1 0.5 -0.56825 -- -1.00447 -0.47434 0.65738 0.97683 0.93267]
|