calculate the correlation of a number of time series
2 vues (au cours des 30 derniers jours)
Afficher commentaires plus anciens
If I have a matrix:
data = rand(365,5);
What is the most appropriate way of calculating the correlation between each column and the mean of the remaining columns. For example, for the first column:
R = nonzeros(tril(corrcoef(data(:,1),mean(data(:,2:end)')'),-1));
How could I repeat this procedure so that I have 5 correlation values i.e. for each series?
0 commentaires
Réponse acceptée
Andrei Bobrov
le 20 Juil 2012
Modifié(e) : Andrei Bobrov
le 20 Juil 2012
R = arrayfun(@(x)nonzeros(tril(corrcoef(data(:,x),mean(data(:,setdiff(1:size(data,2),x))')'),-1)),1:size(data,2));
or
for k = size(data,2):-1:1
R(k) = nonzeros(tril(corrcoef(data(:,k),mean(data(:,[1:k-1,k+1:end]),2)),-1));
end
or
for k = size(data,2):-1:1
p = corrcoef(data(:,k),mean(data(:,[1:k-1,k+1:end]),2));
R(k) = p(2);
end
0 commentaires
Plus de réponses (2)
bym
le 19 Juil 2012
Don't know what you are trying to accomplish, but here is one way
clc; clear
data = rand(365,5);
for k = 1:5
r = corrcoef(data(:,1),mean(data(:,2:end),2));
R(k) = r(2);
data = circshift(data,-1);
end
R
1 commentaire
Voir également
Catégories
En savoir plus sur Tables dans Help Center et File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!