TSRunningCor function

Syntax

TSRunningCor(value1     double precision, 
             value2     double precision,
              num_values integer) 
returns double precision;

TSRunningCor(value1     real, 
             value2     real,
              num_values integer) 
returns double precision;

value1

The column of the first time series to use to calculate the running correlation.

value2

The column of the second time series to use to calculate the running correlation.

num_values

The number of values to include in the running correlation, k.

Description

Use the TSRunningCor function within the Apply function.

The TSRunningCor function runs over a fixed number of elements, not over a fixed length of time; therefore, it might not be appropriate for irregular time series.

The first set of (num_values - 1) outputs result from shorter windows (the first output is derived from the first input time, the second output is derived from the first two input times, and so on). Null elements in the input also result in shortened windows.

The TSRunningCor function can take parameters that are columns of a time series. Use the same parameter format that the Apply function accepts.

Returns

A DOUBLE PRECISION running correlation of the last k values.

Example

select Apply('TSRunningCor($0.high, $1.high, 20)', 
                ds1.stock_data::TimeSeries(stock_bar), 
                ds1.stock_data::TimeSeries(stock_bar))::TimeSeries(one_real)
from daily_stocks ds1, daily_stocks ds2 
where ds1.stock_name = 'HCLTECH' 
and ds2.stock_name = 'AA1';