Description Usage Arguments Value
Over a sliding window, calculate the rolling correlation of an xts matrix of features vs. a target variable.
1 |
features |
The xts matrix containing the features. |
target |
An xts matrix with identical indices as the features matrix. If the target is a prediction further out in time, then the time relationship between features and target should be properly lagged prior to calling this function. |
width |
The rolling window width used to calculate the rolling correlation between the features and the target. |
Returns an xts matrix of the same width as the feature matrix with the rolling correlation values.
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