Bill - this is an interesting idea but it's complete overkill for the problem I'm working on - this is for a system based in Excel.
So, I'm looking into it anyway because it's an interesting approach even though it will probably make the people I work with afraid to talk to me. Regards, Devon On 7/28/07, Bill Harris <[EMAIL PROTECTED]> wrote: > > -----BEGIN PGP SIGNED MESSAGE----- > Hash: SHA1 > > "Devon McCormick" <[EMAIL PROTECTED]> writes: > > > Brian - thanks for your help as well. However, perhaps I didn't make it > > clear that I'm looking for the correlations between two separate series: > for > > one fund we have monthly return data, for another, only quarterly. > > Devon, > > Without working out an example, what about using the FFT as an > alternative? Take the FFT of the input stream, add the appropriate > number of zeros to the middle of the frequency-domain data, and take the > inverse FFT of the padded series. In your case, you'd need twice as > many zeros as you have quarterly data points; you'd want the total > number of padded points to equal the number of monthly points. > > A bit of Googling turned up > http://www.dspguru.com/howto/tech/zeropad.htm as an online reference. > In skimming it, the article looks right. > > Don't forget to think about the potential need to low-pass filter and > window your data! > > If I were doing this, I might compare the results of this approach with > the structural approach I think you and John were suggesting to see > which helped most. > > Bill > - -- > Bill Harris http://facilitatedsystems.com/weblog/ > Facilitated Systems Everett, WA 98208 USA > http://facilitatedsystems.com/ phone: +1 425 337-5541 > -----BEGIN PGP SIGNATURE----- > Version: GnuPG v1.4.7 (MingW32) > Comment: For more information, see http://www.gnupg.org > > iD8DBQFGq8c13J3HaQTDvd8RAurlAJ0TNlYDb5/uFCxdJN0UXAyl+wydMwCeNMhr > zM9/8ZdXEeALr8joNt4CB2E= > =8mlG > -----END PGP SIGNATURE----- > > ---------------------------------------------------------------------- > For information about J forums see http://www.jsoftware.com/forums.htm > -- Devon McCormick, CFA ^me^ at acm. org is my preferred e-mail ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
