Compute the correlation of time signals.
For a time series X(t) (and optionally Y(t)), the correlation() function computes the correlation matrix E(X’(t+tau) X(t)) or the cross-correlation matrix E(X’(t+tau) Y(t)]:
tau, Rtau = correlation(T, X[, Y])
The signal X (and Y, if present) represent a continuous or discrete-time signal sampled at times T. The return value provides the correlation Rtau between X(t+tau) and X(t) at a set of time offsets tau.
Sample times for the signal(s).
Values of the signal at each time in T. The signal can either be scalar or vector values.
If present, the signal with which to compute the correlation. Defaults to X.
If True, squeeze Rtau to remove extra dimensions (useful if the signals are scalars).
Array of time offsets.
Correlation for each offset tau.
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