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how to generate a correlation matrix for multiple time series with some
From: |
Shahbaz Chaudhary |
Subject: |
how to generate a correlation matrix for multiple time series with some time lag (or lead) |
Date: |
Sun, 12 Jan 2003 22:39:51 -0500 |
The corrcoef function seems to generate a correlation matrix of vectors
(each column representing a different vector), is there a way I can
introduce a lag...sort of like calculating a correlation matrix for
intra day values of 50 stock quotes (stock prices being quoted for every
second), then run it again but offsetting one of the vectors by a second
or two.
Essentially to see if one stock price follows another.
I'm fairly new to octave, so please let me know if I'm missing something
obvious.
Thanks.
Shahbaz C.
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- how to generate a correlation matrix for multiple time series with some time lag (or lead),
Shahbaz Chaudhary <=