Thanks, but there is one problem:
Arr2=Yrs; I was looking for the function Yrs in Help but found nothing:-(, even not similar:-( _____ From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf Of vlanschot Sent: Wednesday, February 21, 2007 5:21 PM To: [email protected] Subject: [amibroker] Re: Covariance Arr1=C; Arr2=Yrs; Lookback=30; Covar=correlation (Arr1, Arr2,Lookback)*StDev(Arr1)*StDev(Arr2); Var=StDev(Arr1)^2; A few points: 1) Lookback is arbitrary. Longer is better. 2) You're dealing with non-stationary series. Be careful about interpretation of statistics. 3) Since correlation of a series with itself is 1, Var is simply StDev-squared. 4) AB's StDev is based on assumed full population, whereas you're only using a sample. I.e. purists need to adjust for this. Hopefully, once the account-manager is fully functional, TJ will think about adding matrix-functions, with which we could easily create var-covar matrices of portfolio-returns, factor-returtns, etc. (Yes, I know I can already do this in AFL, but what about an inverted matrix??) PS --- In [EMAIL PROTECTED] <mailto:amibroker%40yahoogroups.com> ps.com, "aleskresta" <[EMAIL PROTECTED]> wrote: > > Greetings, > > I am still a little bit confused about arrays in AB, could someone > give me an example of one simple thing: > > 1)I have an array of Close prices > 2)I want to create an array(the same length as first) of a number > 1,2,3, nad so on > 3)I want to compute covarience between array 1 and array 2, and > variance of array 2 > > Because I am confused about arrays I don't know how to do the second > thing > > Thanks a lot for advice >
