[157] | 1 | ;+ |
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[232] | 2 | ; |
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[157] | 3 | ; @file_comments |
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| 4 | ; |
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| 5 | ; @categories |
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| 6 | ; Statistics |
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| 7 | ; |
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| 8 | ; @param XD |
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| 9 | ; |
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| 10 | ; @param YD |
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| 11 | ; |
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| 12 | ; @param M |
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| 13 | ; |
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| 14 | ; @param NT |
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| 15 | ; |
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| 16 | ; @param NDIM |
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| 17 | ; |
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| 18 | ; @keyword ZERO2NAN |
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| 19 | ; |
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| 20 | ; @keyword DOUBLE |
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| 21 | ; If set to a non-zero value, computations are done in |
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| 22 | ; double precision arithmetic. |
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| 23 | ; |
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| 24 | ; @examples |
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| 25 | ; |
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| 26 | ; @history |
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| 27 | ; |
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| 28 | ; @version |
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| 29 | ; $Id$ |
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| 30 | ; |
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| 31 | ;- |
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[242] | 32 | ; |
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[163] | 33 | FUNCTION timecross_cov, Xd, Yd, M, nT, Ndim, Double = Double, ZERO2NAN = zero2nan |
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[242] | 34 | ; |
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[150] | 35 | compile_opt hidden |
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[2] | 36 | ; |
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[242] | 37 | ;Sample cross covariance function. |
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[150] | 38 | case Ndim OF |
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| 39 | 1:res = TOTAL(Xd[0:nT - M - 1L] * Yd[M:nT - 1L] $ |
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| 40 | , Double = Double) |
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| 41 | 2:res = TOTAL(Xd[*, 0:nT - M - 1L] * Yd[*, M:nT - 1L] $ |
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| 42 | , Ndim, Double = Double) |
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| 43 | 3:res = TOTAL(Xd[*, *, 0:nT - M - 1L] * Yd[*, *, M:nT - 1L] $ |
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| 44 | , Ndim, Double = Double) |
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| 45 | 4:res = TOTAL(Xd[*, *, *, 0:nT - M - 1L] * Yd[*, *, *, M:nT - 1L] $ |
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| 46 | , Ndim, Double = Double) |
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| 47 | ENDCASE |
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| 48 | if keyword_set(zero2nan) then begin |
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| 49 | zero = where(res EQ 0) |
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| 50 | if zero[0] NE -1 then res[zero] = !values.f_nan |
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| 51 | ENDIF |
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[2] | 52 | ; |
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[150] | 53 | RETURN, res |
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| 54 | |
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| 55 | END |
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[242] | 56 | ; |
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[150] | 57 | ;+ |
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[242] | 58 | ; |
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[150] | 59 | ; @file_comments |
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| 60 | ; This function computes the "time cross correlation" Pxy(L) or |
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| 61 | ; the "time cross covariance" between 2 arrays (this is some |
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[226] | 62 | ; kind of c_correlate but for multidimensional arrays) as a |
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[150] | 63 | ; function of the lag (L). |
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[2] | 64 | ; |
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[150] | 65 | ; @categories |
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[157] | 66 | ; Statistics |
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[2] | 67 | ; |
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[242] | 68 | ; @param X {in}{required} {type=array} |
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| 69 | ; An array which last dimension is the time dimension of |
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[150] | 70 | ; size n, float or double. |
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[2] | 71 | ; |
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[242] | 72 | ; @param Y {in}{required} {type=array} |
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| 73 | ; An array which last dimension is the time dimension of |
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[150] | 74 | ; size n, float or double. |
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[2] | 75 | ; |
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[163] | 76 | ; @param LAG {in}{required}{type=scalar or vector} |
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[242] | 77 | ; A scalar or n-elements vector, in the interval [-(n-2),(n-2)], |
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[150] | 78 | ; of type integer that specifies the absolute distance(s) between |
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| 79 | ; indexed elements of X. |
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[2] | 80 | ; |
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[150] | 81 | ; @keyword COVARIANCE |
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[226] | 82 | ; If set to a non-zero value, the sample cross |
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[150] | 83 | ; covariance is computed. |
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[2] | 84 | ; |
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[150] | 85 | ; @keyword DOUBLE |
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| 86 | ; If set to a non-zero value, computations are done in |
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| 87 | ; double precision arithmetic. |
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[2] | 88 | ; |
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[150] | 89 | ; @examples |
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[226] | 90 | ; |
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[242] | 91 | ; Define two n-elements sample populations. |
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| 92 | ; IDL> x = [3.73, 3.67, 3.77, 3.83, 4.67, 5.87, 6.70, 6.97, 6.40, 5.57] |
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| 93 | ; IDL> y = [2.31, 2.76, 3.02, 3.13, 3.72, 3.88, 3.97, 4.39, 4.34, 3.95] |
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[2] | 94 | ; |
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[242] | 95 | ; Compute the cross correlation of X and Y for LAG = -5, 0, 1, 5, 6, 7 |
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| 96 | ; IDL> lag = [-5, 0, 1, 5, 6, 7] |
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| 97 | ; IDL> result = c_timecorrelate(x, y, lag) |
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[2] | 98 | ; |
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[242] | 99 | ; The result should be: |
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| 100 | ; [-0.428246, 0.914755, 0.674547, -0.405140, -0.403100, -0.339685] |
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[2] | 101 | ; |
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[150] | 102 | ; @history |
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[157] | 103 | ; - 01/03/2000 Sebastien Masson (smasson\@lodyc.jussieu.fr) |
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[2] | 104 | ; Based on the C_CORRELATE procedure of IDL |
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[226] | 105 | ; - August 2003 Sebastien Masson |
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[21] | 106 | ; update according to the update made in C_CORRELATE by |
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| 107 | ; W. Biagiotti and available in IDL 5.5 |
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[2] | 108 | ; |
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[150] | 109 | ; INTRODUCTION TO STATISTICAL TIME SERIES |
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| 110 | ; Wayne A. Fuller |
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| 111 | ; ISBN 0-471-28715-6 |
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[2] | 112 | ; |
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[150] | 113 | ; @version |
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| 114 | ; $Id$ |
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| 115 | ; |
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| 116 | ;- |
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[242] | 117 | ; |
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[163] | 118 | FUNCTION c_timecorrelate, X, Y, Lag, Covariance = Covariance, Double = Double |
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[242] | 119 | ; |
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[2] | 120 | |
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[226] | 121 | ;Compute the sample cross correlation or cross covariance of |
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[2] | 122 | ;(Xt, Xt+l) and (Yt, Yt+l) as a function of the lag (l). |
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| 123 | |
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| 124 | ON_ERROR, 2 |
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| 125 | |
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| 126 | xsize = SIZE(X) |
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| 127 | ysize = SIZE(Y) |
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| 128 | nt = float(xsize[xsize[0]]) |
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| 129 | NDim = xsize[0] |
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| 130 | |
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| 131 | if total(xsize[0:xsize[0]] NE ysize[0:ysize[0]]) NE 0 then $ |
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[242] | 132 | ras = report("X and Y arrays must have the same size and the same dimensions") |
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[2] | 133 | |
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| 134 | ;Check length. |
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| 135 | if nt lt 2 then $ |
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[242] | 136 | ras = report("Time dimension of X and Y arrays must contain 2 or more elements.") |
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[226] | 137 | |
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[2] | 138 | ;If the DOUBLE keyword is not set then the internal precision and |
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| 139 | ;result are identical to the type of input. |
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| 140 | if N_ELEMENTS(Double) eq 0 then $ |
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| 141 | Double = (Xsize[Xsize[0]+1] eq 5 or ysize[ysize[0]+1] eq 5) |
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| 142 | |
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| 143 | if n_elements(lag) EQ 0 then lag = 0 |
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| 144 | nLag = N_ELEMENTS(Lag) |
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| 145 | |
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[21] | 146 | ;Deviations |
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| 147 | if double then one = 1.0d ELSE one = 1.0 |
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| 148 | Ndim = size(X, /n_dimensions) |
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| 149 | Xd = TOTAL(X, Ndim, Double = Double) / nT |
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| 150 | Xd = X - Xd[*]#replicate(one, nT) |
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| 151 | Yd = TOTAL(Y, Ndim, Double = Double) / nT |
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| 152 | Yd = Y - Yd[*]#replicate(one, nT) |
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| 153 | |
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[2] | 154 | if nLag eq 1 then Lag = [Lag] ;Create a 1-element vector. |
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| 155 | |
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| 156 | case NDim of |
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[21] | 157 | 1:if Double eq 0 then Cross = FLTARR(nLag) else Cross = DBLARR(nLag) |
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| 158 | 2:if Double eq 0 then Cross = FLTARR(Xsize[1], nLag) else Cross = DBLARR(Xsize[1], nLag) |
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| 159 | 3:if Double eq 0 then Cross = FLTARR(Xsize[1], Xsize[2], nLag) $ |
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| 160 | else Cross = DBLARR(Xsize[1], Xsize[2], nLag) |
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| 161 | 4:if Double eq 0 then Cross = FLTARR(Xsize[1], Xsize[2], Xsize[3], nLag) $ |
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| 162 | else Cross = DBLARR(Xsize[1], Xsize[2], Xsize[3], nLag) |
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[2] | 163 | endcase |
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| 164 | |
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[21] | 165 | if KEYWORD_SET(Covariance) eq 0 then begin ;Compute Cross Crossation. |
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[2] | 166 | for k = 0, nLag-1 do begin |
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[226] | 167 | if Lag[k] ge 0 then BEGIN |
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[2] | 168 | case NDim of |
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[21] | 169 | 1: Cross[k] = TimeCross_Cov(Xd, Yd, Lag[k], nT, Ndim, Double = Double) |
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| 170 | 2: Cross[*, k] = TimeCross_Cov(Xd, Yd, Lag[k], nT, Ndim, Double = Double) |
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| 171 | 3: Cross[*, *, k] = TimeCross_Cov(Xd, Yd, Lag[k], nT, Ndim, Double = Double) |
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[226] | 172 | 4: Cross[*, *, *, k] = TimeCross_Cov(Xd, Yd, Lag[k], nT, Ndim, Double = Double) |
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[21] | 173 | endcase |
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[226] | 174 | ENDIF else BEGIN |
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[2] | 175 | case NDim of |
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[21] | 176 | 1: Cross[k] = TimeCross_Cov(Yd, Xd, ABS(Lag[k]), nT, Ndim, Double = Double) |
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| 177 | 2: Cross[*, k] = TimeCross_Cov(Yd, Xd, ABS(Lag[k]), nT, Ndim, Double = Double) |
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| 178 | 3: Cross[*, *, k] = TimeCross_Cov(Yd, Xd, ABS(Lag[k]), nT, Ndim, Double = Double) |
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| 179 | 4: Cross[*, *, *, k] = TimeCross_Cov(Yd, Xd, ABS(Lag[k]), nT, Ndim, Double = Double) |
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| 180 | endcase |
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[226] | 181 | ENDELSE |
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[21] | 182 | ENDFOR |
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| 183 | div = sqrt(TimeCross_Cov(Xd, Xd, 0L, nT, Ndim, Double = Double, /zero2nan) * $ |
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| 184 | TimeCross_Cov(Yd, Yd, 0L, nT, Ndim, Double = Double, /zero2nan)) |
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| 185 | Cross = temporary(Cross)/((temporary(div))[*]#replicate(one, nLag)) |
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[2] | 186 | endif else begin ;Compute Cross Covariance. |
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| 187 | for k = 0, nLag-1 do begin |
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| 188 | if Lag[k] ge 0 then BEGIN |
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| 189 | case NDim of |
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[21] | 190 | 1: Cross[k] = TimeCross_Cov(Xd, Yd, Lag[k], nT, Ndim, Double = Double) / nT |
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| 191 | 2: Cross[*, k] = TimeCross_Cov(Xd, Yd, Lag[k], nT, Ndim, Double = Double) / nT |
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| 192 | 3: Cross[*, *, k] = TimeCross_Cov(Xd, Yd, Lag[k], nT, Ndim, Double = Double) / nT |
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| 193 | 4: Cross[*, *, *, k] = TimeCross_Cov(Xd, Yd, Lag[k], nT, Ndim, Double = Double) / nT |
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[2] | 194 | ENDCASE |
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[226] | 195 | ENDIF else BEGIN |
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[2] | 196 | case NDim of |
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[21] | 197 | 1: Cross[k] = TimeCross_Cov(yd, xd, ABS(Lag[k]), nT, Ndim, Double = Double) / nT |
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| 198 | 2: Cross[*, k] = TimeCross_Cov(yd, xd, ABS(Lag[k]), nT, Ndim, Double = Double) / nT |
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| 199 | 3: Cross[*, *, k] = TimeCross_Cov(yd, xd, ABS(Lag[k]), nT, Ndim, Double = Double) / nT |
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| 200 | 4: Cross[*, *, *, k] = TimeCross_Cov(yd, xd, ABS(Lag[k]), nT, Ndim, Double = Double) / nT |
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[2] | 201 | ENDCASE |
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[226] | 202 | ENDELSE |
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[2] | 203 | endfor |
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| 204 | endelse |
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| 205 | |
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[21] | 206 | if Double eq 0 then RETURN, FLOAT(Cross) else RETURN, Cross |
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[2] | 207 | |
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| 208 | END |
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