mcorrTopN

New in version 1.30.16.

语法

mcorrTopN(X, Y, S, window, top, [ascending=true], [tiesMethod=’oldest’])

参数说明和窗口计算规则请参考: mTopN 系列

详情

在给定长度(以元素个数衡量)的滑动窗口内,根据 ascending 指定的排序方式将 XY 按照 S 进行稳定排序后,取前 top 个元素,然后计算 YX 的相关性。

例子

$ a =  2 5 3 1 9
$ b = 2 3 1 7 13
$ s = 6 8 4 2 7

$ mcorrTopN(a, b, s, 4, 3)
[ , 1, 0.6547, -0.9333, 0.7206]

$ s2=2021.01.01 2021.02.03 2021.01.23 2021.04.06 2021.12.29
$ mcorrTopN(a, b, s2, 4, 3)
[ , 1, 0.6547, 0.6547, -0.6547]

$ a1 = matrix(a, 4 3 6 2 3)
$ b1=matrix(3 7 9 3 2, b)
$ s1=matrix(2 3 1 7 3, s)
$ mcorrTopN(a, b1, s1, 4, 3)

col1

col2

1

1

0.5

0.6547

0.5

-0.9333

-0.9986

0.7206

$ mcorrTopN(a1, b1, s, 4, 3)

col1

col2

1

-1

0.5

-0.982

0.866

-0.9333

-0.4018

-0.7206

$ mcorrTopN(a1, b1, s1, 4, 3)

col1

col2

1

-1

0.5

-0.982

0.5

-0.9333

-0.9986

-0.7206

$ n = 3000
$ ids = 1..3000
$ dates = take(2021.01.01..2021.10.01,n)
$ prices = rand(1000,n)
$ vals = rand(1000,n)
$ t = table(ids as id,dates as date,prices as price,vals as val)
$ dbName = "dfs://test_mcorrTopN_2"
$ if(existsDatabase(dbName))dropDB(dbName)
$ db = database(dbName,VALUE,1..5000)
$ pt = db.createPartitionedTable(t,"pt",`id).append!(t)
$ select mcorrTopN(price, val, id, 10, 5, true) from pt where date>2021.05.01

相关函数:mcorr