mcovarp

mcovarp(X, Y, window, [minPeriods])

Please see mFunctions for the parameters and windowing logic.

Calculates the population covariance of X and Y over a sliding window of the specified length, measured by either element count or time.

The result is of type DOUBLE, with the same form as the input parameters.

x=1..10;
y=9 5 3 4 5 4 7 1 3 4;
mcovarp(x,y,5);
// output: [,,,,-1.8,0,1.6,-0.8,-1.4,-0.8]

mcovarp(x, y, 5, 3);
// output: [,,-2,-2.13,-1.8,0,1.6,-0.8,-1.4,-0.8]


x1 = indexedSeries(date(2026.01.05)+1..10, x)
y1 = indexedSeries(date(2026.01.05)+1..10, y)
mcovarp(x1,y1,5d)

Related Function: covarp