[R] moving correlation coef ?
vincent at 7d4.com
Wed Jun 29 18:02:00 CEST 2005
Thank you for your answers.
In fact, i believe my question wasn't precise enough.
I don't want to have a moving/sliding windows over the data
to correlate (i am already doing that).
If I have 2 vectors
X = (x1, x2, x3, ..., xt)
Y = (y1, y2, x3, ..., yt)
I want the most recent elements (t) to have a heavier weight
in the correlation calculus than the older ones (1).
I think that one simple way to do that is for example to
compute cor() over XP, YP where
XP = (x1, x2, x2, x3, x3, x3, ..., xt, xt, xt)
YP = (y1, y2, y2, y3, y3, y3, ..., yt, yt, yt)
ie where each element is repeated several times according
to its freshness.
It's quite naive ! so if there is a cleaver idea, many thanks.
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