Hi there

 

We have 25m XY pairs to be correlated.

Data is bank financial data and smooth over Time ; observations for x and y
are 32 quarters each.

Testing 25m rships exhaustively will take forever ; this task is easily
over-engineered.

We'll use the best of XY relationships to predict. *

 

We're swamped by choice in R packages.  None seem to be readily comparable.

Can someone help us with which package(s) is/are most apt ?

That is, which can time-efficiently test for correlation given properties of
the data ?

We'll save lots of time with fine advice.

 

(And yes, to conserve time, we'll employ foreach & doSNOW.)

 

Steve

 

* X and Y are series both 50 quarters in length.

Y is offset 8 quarters forward, such that X (periods 9 to 50) is compared to
Y (1 to 42).

Best fit (x actual vs x fitted using y actual) is determined.

Method identified is used with Y (43 to 50) to predict X for the final 8
quarters.


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