Re: [ferret_users] 21 yr running correlation

[saurabh rathore <rohitsrb2020@xxxxxxxxx>]

Thank you all for this effort. This may be useful for many others as well.

Happy Ferreting

On Wed, Aug 29, 2018 at 10:15 PM Ryo Furue <furue@xxxxxxxxxx> wrote:

Hi Ferret users,

On Wed, Aug 29, 2018 at 11:57 AM Ryo Furue <furue@xxxxxxxxxx> wrote:

Your method utilizes the identity

mean{ [a - mean(a)]^2}

= mean(a^2) - [mean(a)]^2

so that the operation mean() is applied only once in each term.  That's elegant.

Currently, I need a "running skewness", which I think I can calculate applying your method.

For a record, I describe how one can calculate it.

To extend Andrew's method, we first need a formula to calculate the third moment without nested applications of mean(). The formula is

mean{ [a - mean(a)]^3

--

REGARDS

Saurabh Rathore

Research Scholar (PhD.)

Centre For Oceans, Rivers, Atmosphere & Land Science Technology

Indian Institute Of Technology, Kharagpur

contact :- 91- 8345984434