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MathGroup Archive 2005

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Construcing correlation matrix from time-ordered list

  • To: mathgroup at smc.vnet.net
  • Subject: [mg54707] Construcing correlation matrix from time-ordered list
  • From: Adam Getchell <agetchell at physics.ucdavis.edu>
  • Date: Sun, 27 Feb 2005 01:29:57 -0500 (EST)
  • Sender: owner-wri-mathgroup at wolfram.com

Hello all,

I have time series data (a lot of it) in a format like:

{{{1897,1,4},40.37`},{{1897,1,5},40.87`},{{1897,1,6},40.95`},{{1897,1,7},
    40.87`},{{1897,1,8},40.97`},{{1897,1,11},40.75`},{{1897,1,12},
    41.4`},{{1897,1,13},41.45`},{{1897,1,14},41.79`},{{1897,1,15},
    42.27`},{{1897,1,18},42.76`},{{1897,1,19},43.25`},{{1897,1,20},
    42.78`},{{1897,1,21},42.52`},{{1897,1,22},42.42`}}

ie the year, then the value, for 100+ years.

I'd like to construct a correlation matrix so that year values become
columns, e.g.

1897      1898
==========
Value1     Value 1
Value 2     Value 2
...

 From my long list of {{{date1},value1},{{date2},value2}}

But I'm not yet sure how to proceed. I'm looking at Cases or Select to
apply a function for each year range that will pick out that column.

Any pointers appreciated.

--Adam Getchell



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