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PORolling correlation between zoo objects of unequal size
 

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  1. PORolling correlation between zoo objects of unequal size
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    <p>I have two zoo objects of unequal size (inflow and outflow). Outflow values lag inflow by some unknown amount of time. I would like to determine the correlation between the smaller outflow object (6 rows) and the larger inflow object (many rows), 6 rows at a time, starting at the inflow beginning time, incrementing by one, and find the period of highest correlation. I think this is called a "sliding window" comparison. I've tried many different ways, unsuccessfully, to use the "rollapply" function to do this but get an error because the size difference between the two objects. Hope someone will understand what I'm trying to ask and can offer a solution. Below is a portion of my data and an example of how I have tried to use the rollapply function. </p> <pre><code>&gt; inflow (03/14/13 07:00:00) 11.20451 (03/14/13 07:02:00) 11.03810 (03/14/13 07:04:00) 11.03012 (03/14/13 07:06:00) 11.09517 (03/14/13 07:08:00) 10.90878 (03/14/13 07:10:00) 11.23285 (03/14/13 07:12:00) 11.14890 (03/14/13 07:14:00) 11.17002 (03/14/13 07:16:00) 11.38342 (03/14/13 07:18:00) 11.70833 (03/14/13 07:20:00) 11.93776 (03/14/13 07:22:00) 12.17832 (03/14/13 07:24:00) 12.39648 (03/14/13 07:26:00) 12.24020 (03/14/13 07:28:00) 12.18667 (03/14/13 07:30:00) 12.45410 (03/14/13 07:32:00) 12.50012 (03/14/13 07:34:00) 12.54736 (03/14/13 07:36:00) 13.05010 (03/14/13 07:38:00) 13.06495 (03/14/13 07:40:00) 13.14084 (03/14/13 07:42:00) 12.92427 (03/14/13 07:44:00) 12.98699 (03/14/13 07:46:00) 12.84172 (03/14/13 07:48:00) 12.87263 (03/14/13 07:50:00) 12.51861 (03/14/13 07:52:00) 12.98763 (03/14/13 07:54:00) 12.31124 (03/14/13 07:56:00) 12.33696 (03/14/13 07:58:00) 12.49630 (03/14/13 08:00:00) 12.40648 (03/14/13 08:02:00) 11.87164 (03/14/13 08:04:00) 12.76058 (03/14/13 08:06:00) 12.50016 (03/14/13 08:08:00) 12.68696 (03/14/13 08:10:00) 12.88447 (03/14/13 08:12:00) 12.33336 (03/14/13 08:14:00) 13.06670 (03/14/13 08:16:00) 13.15070 (03/14/13 08:18:00) 12.82410 (03/14/13 08:20:00) 12.91953 </code></pre> <p>outflow2</p> <pre><code>(03/14/13 07:54:00) (03/14/13 07:56:00) (03/14/13 07:58:00) (03/14/13 08:00:00) (03/14/13 08:02:00) (03/14/13 08:04:00) 11.51110 11.11878 11.05775 11.11303 10.95417 10.98035 </code></pre> <p>Use:</p> <pre><code>&gt; test &lt;- rollapply(inflow, width = 6, by = 1, FUN = cor(inflow, outflow)) Error in cor(inflow, outflow) : incompatible dimensions </code></pre>
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    1. USJune Wolfe
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      1. PORolling correlation between zoo objects of unequal size
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    1. COI think you need to define what you mean by "correlation" between a single value and multiple values. And if the outflow variable is measured at irregular times, then how do you expect the inflow values to be partitioned.
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    2. COI want to correlate the outflow values with the inflow values, as groups of 6. Sorry, I'm not able to describe this better. Here's a text example"
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      1. USJune Wolfe
    3. COI guess we need to get concrete: What is the "correlation" of value 3 with the sequence 1:6? Or are you really asking to have the correlation of the aggregated means of the longer vector with the shorter vector?
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