Getting the correlation of a 1000 by 1500
matrix takes about 3.5 seconds on my
unimpressive Windows machine. Is that
really a tremendous amount of time?
You don't say what you are using the
correlation matrix for. It is common for
a semi-definite matrix (as you will be getting)
to cause problem
refer to the packages you have suggested.
Thanks again
Vincy
--- On Mon, 3/21/11, Peter Langfelder wrote:
From: Peter Langfelder
Subject: Re: [R] Correlation for no of variables
To: "Vincy Pyne"
Cc: r-help@r-project.org
Received: Monday, March 21, 2011, 4:50 PM
On Mon, Mar 21, 2011
On Mon, Mar 21, 2011 at 8:34 AM, Vincy Pyne wrote:
> Dear R helpers,
>
> Suppose I have stock returns data of say 1500 companies each for say last 4
> years. Thus I have a matrix of dimension say 1000 * 1500 i.e. 1500 columns
> representing companies and 1000 rows of their returns.
>
> I need to
Dear R helpers,
Suppose I have stock returns data of say 1500 companies each for say last 4
years. Thus I have a matrix of dimension say 1000 * 1500 i.e. 1500 columns
representing companies and 1000 rows of their returns.
I need to find the correlation matrix of these 1500 companies.
So I can
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