[R-SIG-Finance] Creating an array from correlation matrices

Max Frisch rstatistics.user at gmail.com
Fri Aug 31 17:55:43 CEST 2012

Hello everyone,

a hopefully easy to solve problem from an R novice...

I try to calculate a number of correlation matrices that finally should be combined in a three-dimensional array.

Here the my code with an R dataset as an example.

## Creation an array of correlation matrices from a rolling window application

TS <- EuStockMarkets
# Load internal dataset

n <- 30
# Choose size of rolling time window

T <- c(1:nrow(TS))
# Define number of steps

X <- array(data = NA, dim = c(ncol(TS), ncol(TS), nrow(TS)))
# Create data array

for (t in T[1:(length(T)-n)]){
  X[t] = cor(TS[t:(t+n), 1:ncol(TS)], use = "pairwise.complete.obs")
# Calculate correlation matrices

Unfortunately, I only get a warning that the dimensions do not fit... Where is the mistake?



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