@mcovp |

Trailing moving population covariance (no d.f. adjustment; ignore NAs).

n-period trailing moving Pearson product moment population covariances between a pair of variables, with no d.f. correction, ignoring NAs.

Syntax: @mcovp(x, y, n)

x: series

y: series

n integer, series

Return: series

For each observation and integer , compute the population covariance () 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.

Equivalent to @mcov.

Examples

show @mcovp(x, y, 12)

produces a linked series of the moving population covariance of the series x and y where NAs are ignored.

Cross-references

For the NA-propagating variant of this function, see
@movcovp.