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## Re: how to generate a correlation matrix for multiple time series with s

**From**: |
E. Joshua Rigler |

**Subject**: |
Re: how to generate a correlation matrix for multiple time series with some time lag (or lead) |

**Date**: |
13 Jan 2003 03:25:11 -0700 |

Try the xcov or xcorr funtions in Octave forge...
http://octave.sourceforge.net/
On Sun, 2003-01-12 at 20:39, Shahbaz Chaudhary wrote:
>* 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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>* *
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>* -------------------------------------------------------------*
--
E. Joshua Rigler <address@hidden>
-------------------------------------------------------------
Octave is freely available under the terms of the GNU GPL.
Octave's home on the web: http://www.octave.org
How to fund new projects: http://www.octave.org/funding.html
Subscription information: http://www.octave.org/archive.html
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