ts.match {tsdataleaks}

Correlation calculation based on rolling window with overlapping observations.

Description

Correlation calculation based on rolling window with overlapping observations.

Usage

ts.match(x, y, cutoff = 1)

Arguments

x

time series

y

subsection of the time series to map

cutoff

benchmark value for corr, default 1

Value

Pearson's correlation coefficient between x and y

Examples

x <- rnorm(15)
y <- -x[6:10]
x <- c(x, y)
ts.match(x, y, 1)
z <- rnorm(5)
ts.match(x, z)