Re: [R] moving correlation coef ?

From: vincent <vincent_at_7d4.com>
Date: Thu 30 Jun 2005 - 02:02:00 EST

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.

Thanks
Vincent



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