xcov and xcorr in Matlab

Matlab provides xcorr to calculate the cross/auto-correlation of two/one random variables.


will calculate the cross-correlation of x and y using

Here “coeff” optional keyword is used to normalize the result with L2-norm.


calculates the cross-variance of x and y using

Here “coeff” keyword will normalize the result with the variance of X and Y. The factor \frac{N-1}{N} comes from the unbiased variance



About cgao

Cambridge, MA
This entry was posted in Academic. Bookmark the permalink.

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )


Connecting to %s