(some) corrections attempted On Sat, 28 Jul 2007, Brian Schott wrote:
+ Devon, + + By "returns" can I assume you mean something like + financial returns where for example if you had the following + value figures at the end of various months, then your + returns would be calculated as suggested? + + month value mnth return qtr return + + 0 100 + 1 110 10%100 (unknown) + 2 121 11%100 (unknown) 2 121 11%110 (unknown) + 3 130 9%100 30%100 3 130 9%121=0.07438 30%100 + 4 139 9%100 (unknown) 4 139 9%13=0.069230 (unknown) + + If my assumption above is correct, is the correct + correlation for that one set of figures the correlation + between the following pairs and the pairs would be expanded + by three pairs for each additional set of quarters of data + you have? + + 0.10 0.11 0.09%12 0.10 0.10 0.07438%12 + 0.30 0.30 0.30% 4 + + Or maybe the following pairs are better, but the + important point is that each quarterly aligns with 3 monthly + figures, and it is best that the three pieces be kept + pristine, imo. + + 0.11 0.09 0.09%12 0.10 0.07438 0.069230%12 + 0.30 0.30 0.30% 4 + + Otoh, if the quarterly figures are known and + calculated at the end of each month, then they each would be + used with a different month's figure. + + Maybe I have this all wrong. Please advise. + + (B=) + + Brian Schott + ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
