ToBeReviewed/STATISTICS/
c_timecorrelate.pro
This function computes the "time cross correlation" Pxy(L) or
the "time cross covariance" between 2 arrays (this is some
kind of C_CORRELATE but for multidimensional arrays) as a
function of the lag (L).
Routine summary
- result = timecross_cov(xd, yd, m, nt, ndim, DOUBLE=DOUBLE, ZERO2NAN=ZERO2NAN)
-
-
- result = c_timecorrelate(x, y, lag, COVARIANCE=COVARIANCE, DOUBLE=DOUBLE)
-
-
timecross_cov
Statistics
result = timecross_cov(xd, yd, m, nt, ndim, DOUBLE=DOUBLE, ZERO2NAN=ZERO2NAN)
Parameters
xd
yd
m
nt
ndim
Keywords
DOUBLE
If set to a non-zero value, computations are done in
double precision arithmetic.
ZERO2NAN
Examples
Version history
Version
$Id: c_timecorrelate.pro 371 2008-08-07 09:32:02Z pinsard $
History
c_timecorrelate
Statistics
result = c_timecorrelate(x, y, lag, COVARIANCE=COVARIANCE, DOUBLE=DOUBLE)
Parameters
x
in
required
type: array
An array which last dimension is the time dimension of
size n, float or double.
y
in
required
type: array
An array which last dimension is the time dimension of
size n, float or double.
lag
in
required
type: scalar or vector
A scalar or n-elements vector, in the interval [-(n-2),(n-2)],
of type integer that specifies the absolute distance(s) between
indexed elements of X.
Keywords
COVARIANCE
If set to a non-zero value, the sample cross
covariance is computed.
DOUBLE
If set to a non-zero value, computations are done in
double precision arithmetic.
Examples
Define two n-elements sample populations.
IDL> x = [3.73, 3.67, 3.77, 3.83, 4.67, 5.87, 6.70, 6.97, 6.40, 5.57]
IDL> y = [2.31, 2.76, 3.02, 3.13, 3.72, 3.88, 3.97, 4.39, 4.34, 3.95]
Compute the cross correlation of X and Y for LAG = -5, 0, 1, 5, 6, 7
IDL> lag = [-5, 0, 1, 5, 6, 7]
IDL> result = c_timecorrelate(x, y, lag)
The result should be:
[-0.428246, 0.914755, 0.674547, -0.405140, -0.403100, -0.339685]
Version history
Version
$Id: c_timecorrelate.pro 371 2008-08-07 09:32:02Z pinsard $
History
- 01/03/2000 Sebastien Masson (smasson@lodyc.jussieu.fr)
Based on the C_CORRELATE procedure of IDL
- August 2003 Sebastien Masson
update according to the update made in C_CORRELATE by
W. Biagiotti and available in IDL 5.5
INTRODUCTION TO STATISTICAL TIME SERIES
Wayne A. Fuller
ISBN 0-471-28715-6
Produced by IDLdoc 2.0.
