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.