RainbowStats™ · Series commands

ROLL_CORR

Compute a rolling correlation.

Syntax

ROLL_CORR(firstSeries,secondSeries,window)

Example or template

ROLL_CORR(LOGDIFF(INDPRO),LOGDIFF(PAYEMS),12)

Details

Aligns the two inputs through getSameDateRange. Window must exceed 1. The first window-1 outputs are NaN; NaNs within a full window propagate. A zero-variance window produces NaN.

Uppercase placeholder names such as SOURCE or OUTCOME_LIST refer to variables you supply. Result-specific EXTRACT keys have not been inventoried for these commands.