Rolling Covariance

Computes the rolling sample covariance (ddof=1) between two numeric vectors.

Usage

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

Parameters

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.

Returns

A numeric vector with rolling covariance values.

Examples

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