How to calculate moving covariance in a matrix?

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Andrea Finocchiaro
Andrea Finocchiaro 2015-10-9
评论： Andrea Finocchiaro 2015-10-9
Hi guys, Hi Guys, I have got a matrix :378x9. I need to calculate the moving covariance with a window size of 120(starting from row one). Can somebody help me please? Thank you very much Andrea
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Image Analyst
Image Analyst 2015-10-9
OK, so you're finding out the correlation coefficient between column 1 and col 2, col 1 and col 3, etc. But what do you mean by having a moving window? Do you want to not use the whole column, but just a subset/window of the columns, and then do it again with the window moved down until the whole column has eventually been looked at?
Andrea Finocchiaro
Andrea Finocchiaro 2015-10-9
Yes,correct that is the moving window I mena. But why correlation?I am looking for the Covarinces

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the cyclist
the cyclist 2015-10-9
% Generate some pretend data. Use your real data here.
data = rand(378,9);
[M,N] = size(data);
window = 120;
numberCovarianceMatrices = M - window + 1;
covarianceMatrices = zeros(N,N,numberCovarianceMatrices);
for nc = 1:numberCovarianceMatrices
covarianceMatrices(:,:,nc) = cov(data(nc:(nc+window-1),:));
end

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