在MATLAB中进行为期3天的滚动相关性计算
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我需要计算3天的相关性。下面给出了一个样本矩阵。我的问题是ID可能并非每天都存在于Universe中。例如，AAPL可能始终在Universe中，但是公司-CCL可能仅在我的Universe中存在2天。我将感谢矢量解决方案。由于相关矩阵的大小可能会有所不同，因此我可能必须在这里使用structs /
accumarray
% col1 = tradingDates, col2 = companyID_asInts, col3 = VALUE_forCorrelation
rawdata = [ ...
734614 1 0.5;
734614 2 0.4;
734614 3 0.1;
734615 1 0.6;
734615 2 0.4;
734615 3 0.2;
734615 4 0.5;
734615 5 0.12;
734618 1 0.11;
734618 2 0.9;
734618 3 0.2;
734618 4 0.1;
734618 5 0.33;
734618 6 0.55;
734619 2 0.11;
734619 3 0.45;
734619 4 0.1;
734619 5 0.6;
734619 6 0.5;
734620 5 0.1;
734620 6 0.3] ;
% 734614 & 734615 corr is ignored as this is a 3-day corr
% 734618_corr = corrcoef(IDs 1,2,3 values are used. ID 4,5,6 is ignored) -> 3X3 matrix
% 734619_corr = corrcoef(IDs 2,3,4,5 values are used. ID 1,6 is ignored) -> 3X4 matrix
% 734620_corr = corrcoef(IDs 5,6 values are used. ID 1,2,3,4 is ignored) -> 3X2 matrix
没有找到相关结果
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疮痪徘弦漏
dates = unique(rawdata(:, 1)); num_comps = max(rawdata(:, 2)); for d = 1:length(dates) - 2; days = dates(d:d + 2); companies = true(1, num_comps); for curr_day = days\' c = false(1, num_comps); c(rawdata(rawdata(:, 1) == curr_day, 2)) = true; companies = companies & c; end companies = find(companies); data = zeros(3, length(companies)); for curr_day = 1:3 for company = 1:length(companies) data(curr_day, company) = ... rawdata(rawdata(:, 1) == days(curr_day) & ... rawdata(:, 2) == companies(company), 3); end end corrcoef(data) end