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PostPosted: Wed Jul 06, 2016 12:36 pm 
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Joined: Wed Aug 08, 2007 6:32 pm
Posts: 236
Hi,

If I have two timeseries t1,t2 and want the correlation over the last 10 values, i think I have to use GetGetCorrelation
GetCorrelation(row1,row2,index1,index2)

Not sure how to populate this (row1,row2). Can you advise?


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PostPosted: Wed Jul 06, 2016 7:54 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6817
Hi,

this is for multivariate timeseries. It's one timeseries with many rows and you calculate correlation between row1 and row2.

I believe you need something like TimeSeries.GetCorrelation(TimeSeries, index1, index2);

PS. If you want to simplify things, just copy ten last entries from your original series t1 and t2 to temp series t1_ and t2_ and calculate correlation between these two series.

Regards,
Anton


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PostPosted: Wed Jul 27, 2016 10:31 am 
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Posts: 236
Pretty sure you cannot limit it to between two indexes. So I think your copy both and correlate idea is more suitable. it might be nice to have that feature overloaded though...


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PostPosted: Thu Jul 28, 2016 10:50 am 
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Hi,

Quote:
Pretty sure you cannot limit it to between two indexes.


What do you mean?

Regards,
Anton


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PostPosted: Wed Aug 03, 2016 12:33 pm 
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Joined: Wed Aug 08, 2007 6:32 pm
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I mean I do not see the method overload:

TimeSeries.GetCorrelation(TimeSeries, index1, index2);

only

TimeSeries.GetCorrelation(TimeSeries);


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PostPosted: Thu Aug 04, 2016 6:19 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6817
Hi,

added in the code. Will be available in the next update.

Regards,
Anton


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