Rolling Correlation

rolling_correlation() is a generic S3 function that preserves the input class: double vector in, double vector out.

Handling of -values

Leading NAs are always produced for the initial lookback period where insufficient data is available. If the input itself contains NAs they are passed through to the underlying C routine, which can cause the entire output to be filled with NAs. Set na.ignore = TRUE to strip NAs before calculation and re-insert them at their original positions in the output.

Usage

rolling_correlation(x, y, n = 10, na.ignore = FALSE)

Arguments

x, y

((double), (double)). A pair of double vectors of equal length.

n

(integer). Lookback period (window size). A positive integer of length 1.

na.ignore

(logical). A logical of length 1. FALSE by default. If TRUE, NAs in the input are stripped before calculation and re-inserted at their original positions in the output.

Value

A double vector with the same length of x

See also

Other Rolling Statistic: rolling_beta(), rolling_max(), rolling_min(), rolling_standard_deviation(), rolling_sum(), rolling_variance()

Author

Serkan Korkmaz

Examples

## load Bitcoin (BTC)
## series
data(BTC, package = "talib")

## calculate the rolling statistic
## between Open and Close
output <- talib::rolling_correlation(x = BTC[[1]], y = BTC[[4]])

## display the results
utils::tail(output)
#> [1] 0.7369425 0.5788049 0.3598043 0.4020494 0.5134674 0.5397380