xcorr

xcorr(x::AbstractVecOrMat{<:Real}, y::AbstractVecOrMat{<:Real}; demean::Bool=true, lags::AbstractVector{<:Integer}=Int[], maxlags=0)

Returns the cross-correlation of two discrete-time sequences.

If x is a matrix, then r is a matrix whose columns contain the autocorrelation and cross-correlation sequences for all combinations of the columns of x.

xcorr(x::AbstractVecOrMat{<:Real}; demean::Bool=true, lags::AbstractVector{<:Integer}=Int[], maxlags=0)

Returns the autocorrelation sequence of x.

Cross-correlation measures the similarity between a vector x and shifted (lagged) copies of a vector y as a function of the lag.

Kwargs

  • demean: Specifies whether the respective means of x and y should be subtracted from them before computing their cross correlation.
  • lags: When left unspecified and maxlags=0, the lags used are the integers from -min(size(x,1)-1, 10*log10(size(x,1))) to min(size(x,1), 10*log10(size(x,1)))
  • maxlags: limits the lag range from -maxlag to maxlag.

Methods

# 6 methods for generic function "xcorr" from GMT:
 [1] xcorr(x::AbstractMatrix{<:Real}, y::AbstractMatrix{<:Real}; lags, demean, maxlags)
 [2] xcorr(x::AbstractVector{<:Real}, y::AbstractMatrix{<:Real}; lags, demean, maxlags)
 [3] xcorr(x::AbstractMatrix{<:Real}, y::AbstractVector{<:Real}; lags, demean, maxlags)
 [4] xcorr(x::AbstractVector{<:Real}, y::AbstractVector{<:Real}; demean, lags, maxlags)
 [5] xcorr(x::AbstractMatrix{<:Real}; demean, lags, maxlags)
 [6] xcorr(x::AbstractVector{<:Real}; demean, lags, maxlags)

See Also