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From: James on 16 Jul 2010 17:08
Hi,

I am new to matlab and want to run some correlations of data over time and see how they change. I want to run the correlation between 2 time series over a 200 period window and save each correlation value to a new matrix so I can then graph the resulting correlations. I know this should be easy but I am stuck, any help would be greatly appreciated.
From: Gordon Cooper on 17 Jul 2010 00:35
"James " <jdj.ta.uic(a)gmail.com> wrote in message <i1qhpg$gad$1(a)fred.mathworks.com>...
> Hi,
>
> I am new to matlab and want to run some correlations of data over time and see how they change. I want to run the correlation between 2 time series over a 200 period window and save each correlation value to a new matrix so I can then graph the resulting correlations. I know this should be easy but I am stuck, any help would be greatly appreciated.

Hi,
you might find this code useful;

http://www.mathworks.com/matlabcentral/fileexchange/18409-comparing-time-series-using-semblance-analysis

Gordon Cooper
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