Re: [R] Correlation for no of variables

From: Patrick Burns <pburns_at_pburns.seanet.com>
Date: Mon, 21 Mar 2011 19:24:46 +0000

Getting the correlation of a 1000 by 1500 matrix takes about 3.5 seconds on my
unimpressive Windows machine. Is that
really a tremendous amount of time?

You don't say what you are using the
correlation matrix for. It is common for a semi-definite matrix (as you will be getting) to cause problems for applications.

Some ways of getting a positive definite matrix are explained in the blog post:
http://www.portfolioprobe.com/2011/03/07/factor-models-of-variance-in-finance/

On 21/03/2011 15:34, Vincy Pyne wrote:
> Dear R helpers,
>
> Suppose I have stock returns data of say 1500 companies each for say last 4 years. Thus I have a matrix of dimension say 1000 * 1500 i.e. 1500 columns representing companies and 1000 rows of their returns.
>
> I need to find the correlation matrix of these 1500 companies.
>
> So I can find out the correlation as
>
> cor(returns) and expect to get 1500 * 1500 matrix. However, the process takes a tremendous time. Is there any way in expediting such a process. In reality, I may be dealing with lots of even 5000 stocks and may simulate even 100000 stock returns.
>
>
>
> Kindly guide.
>
> Vincy
>
>
>
>
>
> [[alternative HTML version deleted]]
>
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-- 
Patrick Burns
pburns_at_pburns.seanet.com
twitter: @portfolioprobe
http://www.portfolioprobe.com/blog
http://www.burns-stat.com
(home of 'Some hints for the R beginner'
and 'The R Inferno')

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