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 problems for applications.
Some ways of getting a positive definite
matrix are explained in the blog post:
http://www.portfolioprobe.com/2011/03/07/factor-models-of-variance-in-finance/
On 21/03/2011 15:34, 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 find the correlation matrix of these 1500 companies.
So I can find out the correlation as
cor(returns) and expect to get 1500 * 1500 matrix. However, the process takes a
tremendous time. Is there any way in expediting such a process. In reality, I
may be dealing with lots of even 5000 stocks and may simulate even 100000 stock
returns.
Kindly guide.
Vincy
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