dcorr
Cross correlation function using discrete Fourier Transforms (dFT).
Syntax
dcorr(vec_expr_1, vec_expr_2)
Argument
- vec_expr_1, vec_expr_2
- A pair of valid vector expressions.
Example
Curve Math Vectors | Result |
---|---|
x = 0:(numpts(c1.y)-1):1
|
Given c1 and c2, a curve is created which is the cross-correlation between the y vectors of c1 and c2. |
Comments
The dcorr function uses discrete Fourier Transforms to calculate cross-correlations, defined as:
vec_expr_1 and vec_expr_2 must be vectors, and they must have the same number of points. The result is a vector with the same number of points as vec_expr_1. The elements of the result are the normalized, biased correlations between vec_expr_1 and vec_expr_2 at the corresponding lag.
If the same vector is given as vec_expr_1 and vec_expr_2, the result is the autocorrelation function for that vector. The two vectors are said to be completely correlated at a given lag if the correlation function at that lag is one. They are said to be uncorrelated if the value is zero.
A typical x vector for plotting a cross-correlation curve is shown below:
0 : (numpts(vec_expr_1)-1) : 1
This method is more accurate than fcorr, but much slower, especially with large numbers of points.