most recent 30 from http://mathoverflow.net 2013-06-20T06:51:46Z http://mathoverflow.net/feeds/question/73688 http://www.creativecommons.org/licenses/by-nc/2.5/rdf http://mathoverflow.net/questions/73688/adding-correlation-coefficients-of-time-series Foobar 2011-08-25T18:30:14Z 2011-08-25T18:30:14Z

<p>I have computed correlation coefficients for 90 day increments of a time series (i.e one coefficient for days 0-90, 91-180,etc.) It was very computationally expensive to compute these and I would like to analyze correlations over 6 month periods, 1 year periods etc. Is it possible to some how combine these coefficients. i.e can I get the correlation over 180 days as 0.5*c1+0.5*c2 </p> <p>I know in the general case this cannot be done, but because the coefficients are computed from the same number of samples is it possible?</p>