Re: how to generate a correlation matrix for multiple time series with some time lag (or lead)

[E. Joshua Rigler]

Try the xcov or xcorr funtions in Octave forge...

 http://octave.sourceforge.net/



On Sun, 2003-01-12 at 20:39, Shahbaz Chaudhary wrote:
> The corrcoef function seems to generate a correlation matrix of vectors
> (each column representing a different vector), is there a way I can
> introduce a lag...sort of like calculating a correlation matrix for
> intra day values of 50 stock quotes (stock prices being quoted for every
> second), then run it again but offsetting one of the vectors by a second
> or two.
> 
> Essentially to see if one stock price follows another.
> 
> I'm fairly new to octave, so please let me know if I'm missing something
> obvious.
> 
> Thanks.
> Shahbaz C. 
> 
> 
> 
> -------------------------------------------------------------
> Octave is freely available under the terms of the GNU GPL.
> 
> Octave's home on the web:  http://www.octave.org
> How to fund new projects:  http://www.octave.org/funding.html
> Subscription information:  http://www.octave.org/archive.html
> -------------------------------------------------------------
-- 
E. Joshua Rigler <address@hidden>



-------------------------------------------------------------
Octave is freely available under the terms of the GNU GPL.

Octave's home on the web:  http://www.octave.org
How to fund new projects:  http://www.octave.org/funding.html
Subscription information:  http://www.octave.org/archive.html
-------------------------------------------------------------