tmcovar
Syntax
tmcovar(T, X, Y, window)
Please see tmFunctions for the parameters and windowing logic.
Details
Calculate the moving covariance of X and Y in a sliding window.
Examples
T = 1 1 1 2 5 6
X = 1 4 2 -1 2 4
Y = 2 5 -3 6 9 1
m = table(T as t,X as x, Y as y)
select *, tmcovar(t, y, x, 3) from m| t | x | y | tmbeta_t |
|---|---|---|---|
| 1 | 1 | 2 | |
| 1 | 4 | 5 | 4.5 |
| 1 | 2 | -3 | 3.3333 |
| 2 | -1 | 6 | -1.6667 |
| 5 | 2 | 9 | |
| 6 | 4 | 1 | -8 |
T = 2021.01.02 2021.01.02 2021.01.04 2021.01.05 2021.01.07 2021.01.08
X = 1 4 2 -1 2 4
Y = 2 5 -3 6 9 1
m = table(T as t,X as x, Y as y)
select *, tmcovar(t, y, x, 3d) from m| t | x | y | tmcorr_t |
|---|---|---|---|
| 2021.01.02 | 1 | 2 | |
| 2021.01.02 | 4 | 5 | 4.5 |
| 2021.01.04 | 2 | -3 | 3.3333 |
| 2021.01.05 | -1 | 6 | -13.5 |
| 2021.01.07 | 2 | 9 | 4.5 |
| 2021.01.08 | 4 | 1 | -8 |
select *, tmcovar(t, y, x, 1w) from m| t | x | y | tmcorr_t |
|---|---|---|---|
| 2021.01.02 | 1 | 2 | |
| 2021.01.02 | 4 | 5 | 4.5 |
| 2021.01.04 | 2 | -3 | 3.3333 |
| 2021.01.05 | -1 | 6 | -1.6667 |
| 2021.01.07 | 2 | 9 | -0.6 |
| 2021.01.08 | 4 | 1 | -1.6 |