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Moving Average Correlation Coefficient


Kevin Morgan

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I have a time series dataset whereI'm trying to calculate discrete correlation coefficientsas a moving average. Essentially I want a running correl function between two columns of the previous 10 samples to know when the two variables are strongly correlated and weakly correlated.

Working in Spotfire X, I'm not seeing any statistical functions available to compute correlation coefficients as a calculated channel (but there is a Covariance function!).

I've included an image of what the function would look like in Excel, in case that helps.

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