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Re: [ferret_users] 21 yr running correlation

Hi Andrew,

On Wed, Aug 29, 2018 at 5:07 AM Andrew Wittenberg - NOAA Federal <andrew.wittenberg@xxxxxxxx> wrote:
Running correlations are easy to compute in Ferret.  If your signals are A and B, then:

! define the running time-averaging transformation,
! e.g. 21*12 grid points (21 years, if time step is 1 month)
def sym trans "t=@sbx:`21*12`"

let a2 = a^2; let b2 = b^2; let prod = a*b
let a_b_cov = prod[($trans)] - a[($trans)]*b[($trans)]
let a_b_corr = a_b_cov/((a2[($trans)] - a[($trans)]^2)*(b2[($trans)] - b[($trans)]^2))^.5

Thanks!  That's what I was looking for. The method I had in my mind was

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