R help - Jun 2005 - moving correlation coef ?

Hello,

R gives us the correlation functions cor(). (Many thanks ;-))
Does it also exist a "moving correlation" coefficient ?
(like the moving average).
If not, could someone give me some infos or link
on how to practically implement such a function in R.

(I did search for "moving correlation" on the R homepage
but didn't find anything.)

Thank you.
Vincent

vincent wrote:
> Hello,
> 
> R gives us the correlation functions cor(). (Many thanks ;-))
> Does it also exist a "moving correlation" coefficient ?
> (like the moving average).
> If not, could someone give me some infos or link
> on how to practically implement such a function in R.
> 
> (I did search for "moving correlation" on the R homepage
> but didn't find anything.)
> 
> Thank you.
> Vincent
> 

See ?running in the gtools package:

library(gtools)
X <- rnorm(100); Y <- rnorm(100)
running(X, Y, cor)

HTH,

--sundar

One common weighting scheme is exponentially weighted, i.e., wt L^(0:m) ,
where 0 < L <= 1 .

David L. Reiner

p.s.
If your question is coming from a financial application, you might be
interested in the R-sig-finance list, as well as reading the RiskMetrics
(r)
document "Return to RiskMetrics: The Evolution of a Standard", by
Jorge
Mina and Jerry Yi Xiao (available at their site, after a free
registration) where exponentially weighted moving statistics are
discussed at length.
> -----Original Message-----
> From: r-help-bounces at stat.math.ethz.ch [mailto:r-help-
> bounces at stat.math.ethz.ch] On Behalf Of vincent
> Sent: Wednesday, June 29, 2005 11:02 AM
> Cc: r-help at r-project.org
> Subject: Re: [R] moving correlation coef ?
> 
> Thank you for your answers.
> 
> In fact, i believe my question wasn't precise enough.
> I don't want to have a moving/sliding windows over the data
> to correlate (i am already doing that).
> 
> If I have 2 vectors
> X = (x1, x2, x3, ..., xt)
> Y = (y1, y2, x3, ..., yt)
> I want the most recent elements (t) to have a heavier weight
> in the correlation calculus than the older ones (1).
> 
> I think that one simple way to do that is for example to
> compute cor() over XP, YP where
> XP = (x1, x2, x2, x3, x3, x3, ..., xt, xt, xt)
> YP = (y1, y2, y2, y3, y3, y3, ..., yt, yt, yt)
> ie where each element is repeated several times according
> to its freshness.
> It's quite naive ! so if there is a cleaver idea, many thanks.
> 
> Thanks
> Vincent
> 
> ______________________________________________
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davidr at rhotrading.com a ??crit :
> One common weighting scheme is exponentially weighted, i.e., wt >
L^(0:m) ,
> where 0 < L <= 1 .
> 
> David L. Reiner
> 
> p.s.
> If your question is coming from a financial application, you might be
> interested in the R-sig-finance list, as well as reading the RiskMetrics
> (r)
> document "Return to RiskMetrics: The Evolution of a Standard", by
Jorge
> Mina and Jerry Yi Xiao (available at their site, after a free
> registration) where exponentially weighted moving statistics are
> discussed at length.
Thank you for the advice and for the link.
Vincent