3.5.6.1 CorrCorr-func
Description
The corr(vx, vy, k[, n]) function returns the correlation between two datasets using a lag size of k and an optional number of points n.
For example, let f and g be two datasets. The cross correlation between the two datasets for the first N points using a lag size of k is defined as:
If f and g are identical datasets, then the result is the auto-correlation.
Syntax
//when k is a scalar
double corr(dataset vx, dataset vy, int k[, int n])
//when k is a vector
dataset corr(dataset vx, dataset vy, dataset k[, int n])
Parameter
vx
- a dataset
vy
- a dataset
k
- a lag size
- Note: The lag argument k can be a scalar or a vector. When k is a vector, the correlation function returns a vector. Similarly, when k is a scalar, the correlation function returns a scalar.
n
- the number of points of vx to take into account.
Return
Returns the correlation between two datasets using a lag size of k
Examples
The following script results in the cross correlation of the first 50 points of col(1) with col(2) using lag sizes from 1 to 10.
col(3) = corr(col(1), col(2), data(1, 10), 50);
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