Rolling Correlation¶

Computes the rolling Pearson correlation between two numeric vectors.

Usage¶

rolling_cor(x, y, window_size, min_periods = window_size)

Parameter	Description
`x`	A numeric vector of type double.
`y`	A numeric vector of type double, same length as `x`.
`window_size`	Positive integer window length.
`min_periods`	Minimum number of valid (non-`NA`) pairs required. Defaults to `window_size`.

A numeric vector with rolling correlation values.

x <- as.double(c(1, 2, 3, 4, 5))
y <- as.double(c(2, 4, 6, 8, 10))
rolling_cor(x, y, 3L)