I am calculating a correlation matrix at regular intervals.
I am storing the results in a 3D matrix CorrLog. So if there are 5 time series and I sample the correlation matrix 20 times, I get a 5x5x20 matrix. I would like to smooth each of the correlations using smooth. I can smooth a particular pair (e.g. 1,2) for 5 periods as follows:
Can someone help me out as to how I smooth the every pair in the matrix?