RainbowStats™ · Series commands

ROLL_COV

Compute a rolling covariance.

Syntax

ROLL_COV(firstSeries,secondSeries,window)

Example or template

ROLL_COV(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. Covariance uses the population denominator (window length), not window-1.

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.