Trailing moving correlations (ignore NAs).
n-period trailing moving Pearson product moment correlations between a pair of variables, with d.f. correction, ignoring NAs.
Syntax: @mcor(x, y, n)
x: series
y: series
n integer, series
Return: series
For each observation
and integer
, compute the correlations () using the current and previous
observations of the series,
and ignoring missing values (NAs).
If
n is not an integer, the integer floor
will be used.
Examples
show @mcor(x, y, 12)
produces a linked series of the moving population correlation of the series x and y where NAs are ignored.
Cross-references
See also
@mcov for NA-excluding trailing moving covariances
For the NA-propagating variant of this function, see
@movcor.
