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chl
chl
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Adding Correlationcorrelation coefficients of time series

I have computed correlation coefficients for 90 day increments of a time series (i.e., one coefficient for days 0-90, 91-180,etc etc.). It was very computationally very expensive to compute these and I would like to analyze correlations over 6 month periods, 1 year periods etc. Is it possible to some how to combine these coefficients. i? I.e., can I get the correlation over 180 days as 0.5c1+0.5c2?

I know in the general case this cannot be done, but because the coefficients are computed from the same number of samples, is it possible?

Adding Correlation coefficients of time series

I have computed correlation coefficients for 90 day increments of a time series (i.e one coefficient for days 0-90, 91-180,etc.) It was very computationally expensive to compute these and I would like to analyze correlations over 6 month periods, 1 year periods etc. Is it possible to some how combine these coefficients. i.e can I get the correlation over 180 days as 0.5c1+0.5c2

I know in the general case this cannot be done, but because the coefficients are computed from the same number of samples is it possible?

Adding correlation coefficients of time series

I have computed correlation coefficients for 90 day increments of a time series (i.e., one coefficient for days 0-90, 91-180, etc.). It was computationally very expensive to compute these and I would like to analyze correlations over 6 month periods, 1 year periods etc. Is it possible to some how to combine these coefficients? I.e., can I get the correlation over 180 days as 0.5c1+0.5c2?

I know in the general case this cannot be done, but because the coefficients are computed from the same number of samples, is it possible?

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user491880
user491880
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Adding Correlation coefficients of time series

I have computed correlation coefficients for 90 day increments of a time series (i.e one coefficient for days 0-90, 91-180,etc.) It was very computationally expensive to compute these and I would like to analyze correlations over 6 month periods, 1 year periods etc. Is it possible to some how combine these coefficients. i.e can I get the correlation over 180 days as 0.5c1+0.5c2

I know in the general case this cannot be done, but because the coefficients are computed from the same number of samples is it possible?