Simple correlation Question

2012 3 29
1 个回答
回答已采纳
5 次查看（30 天）

0 个投票

Hi there. Here is my question.
Q) I have two time series of financial data. A = 1000 x 1 B = 1000 x 1
Now I want to find out the correlation of these at different frequencies.
So I want to test if A and all its lages is correlated with B and all its lags.
So I want to know for instance if the 5 minute price of A is correlated to the 2 minute price of B and etc etc....
I look forward to hearing a reply from you.

请先登录，再回答此问题。

 采纳的回答

Wayne King
Wayne King 2012-3-29

0 个投票

xcorr()
crosscorr()
Be careful with the word "frequency", there is a frequency domain correlation called coherence, but what you are after sounds like xcorr() or crosscorr()
For example:
x = randn(1e3,1);
y = randn(1e3,1);
[xc,lags] = xcorr(y,x,'coeff');

更多回答（0 个）

类别

在 帮助中心 和 File Exchange 中查找有关 Correlation and Convolution 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by