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
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?
