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How to calculate computing correlation coefficients with a sliding window?

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Kathleen on 2 Apr 2015
Hi, I have two time series data, for example:
t=0:0.01:1; y1=sin(2*pi*5*t); y2=-sin(2*pi*5*t);
I want to calculate the correlation coefficients between the two columns using 0.02s sliding window. I am trying to use corrcoef syntax, but I don't seem to be able to make it work. I tried several different ways of doing it but always without success... Can anybody tell me how to make this work?
Thanks for your help!

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