@movcor |

Trailing moving population correlations (propagate NAs).

n-period trailing moving Pearson product moment population correlations between a pair of variables, with d.f. correction, propagating NAs.

Syntax: @movcor(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 @movcor(x, y, 12)

produces a linked series of the moving population correlation of the series x and y where NAs are propagated.

Cross-references

See
@mcor for an NA-excluding version of this function.