Calculate dynamic correlations¶

# Code source: Lucy Owen
# License: MIT

# load timecorr and other packages
import timecorr as tc
import numpy as np


S = 1
T = 1000
K = 10
B = 5

# define your weights parameters
width = 100
laplace = {'name': 'Laplace', 'weights': tc.laplace_weights, 'params': {'scale': width}}

# calculate the dynamic correlation of the two datasets

subs_data_2 = tc.simulate_data(datagen='ramping', return_corrs=False, set_random_seed=1, S=S, T=T, K=K, B=B)

subs_data_1 = tc.simulate_data(datagen='ramping', return_corrs=False, set_random_seed=2, S=S, T=T, K=K, B=B)



wcorred_data = tc.wcorr(np.array(subs_data_1),  np.array(subs_data_2), weights=laplace['weights'](T))