corrfun
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Compute the autocorrelation or cross-correlation function.
- Usage 1
var(xvector, yvector)
- Result 1
- The correlecation coefficient r (product-moment correlation) of the vectors x and y.
r = var(x, y) / sqrt( var(x) * var(y) )
- Usage 2
var(xmatrix)
var(xmatrix, yscalar)
var(xmatrix, yvector)
- Result 2
- The correlation matrix r of the column vectors of x.
r[i,j] = var(x[*,i], x[*,j]) / sqrt( var(x[*,i]) * var(x[*,j]) ) , with: i,j = 0..ncol(x)-1
- If the argument y is supplied, it is used as column average like for the computation of the covariance matrix.
corrfun
corrfun(x, lags, scale) | ||
lags | the number of coefficients | def.=nrow(x)/2 |
scale | the scaling | def.=0 |
0=no scaling | ||
1=scaling with "1 / nrow(x)", | ||
2=scaling with "1 / (nrow(x) - lag)" |
The result is a vector with lags elements. |- |corrfun(x, y, lags, scale) |Calculate the coefficients 0..lags-1 of the cross-correlation function of the vectors x and y. The parameters are the same as for the auto-correlation function. |}